Mean-square stability of second-order Runge-Kutta methods for multi-dimensional linear stochastic differential systems (Q935778)
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scientific article; zbMATH DE number 5309288
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| English | Mean-square stability of second-order Runge-Kutta methods for multi-dimensional linear stochastic differential systems |
scientific article; zbMATH DE number 5309288 |
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Mean-square stability of second-order Runge-Kutta methods for multi-dimensional linear stochastic differential systems (English)
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8 August 2008
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The authors investigate the mean-square stability of second-order Runge-Kutta schemes for multi-dimensional linear stochastic differential equations with one multiplicative noise. They give the stability criteria backed up with numerical experiments.
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mean-square stability
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second-order Runge-Kutta methods
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multi-dimensional linear stochastic differential systems
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one multiplicative noise
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numerical experiments
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0.9143678545951844
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0.893739640712738
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0.8677129149436951
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