MS-stability of nonnormal stochastic differential systems

DOI10.1016/J.CAM.2020.112950MaRDI QIDQ2184023zbMATH OpenOpenAlexFDO

Authors M. J. Senosiain, A. Tocino

Publication date 27 May 2020

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2020.112950

zbMATH Keywords

linear test systemMS-stabilitynonnormalitynumerical methodstochastic differential systemsstochastic theta methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Stability and convergence of numerical methods for ordinary differential equations (65L20)

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Cites work

• \(A\)-stability and stochastic mean-square stability
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• Higher-order implicit strong numerical schemes for stochastic differential equations
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• Hydrodynamic stability without eigenvalues
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Mean-square stability analysis of numerical schemes for stochastic differential systems
• Non-normal drift structures and linear stability analysis of numerical methods for systems of stochastic differential equations
• Nonnormality and stochastic differential equations
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Towards a systematic linear stability analysis of numerical methods for systems of stochastic differential equations

Cited in

(3)

• Destabilising nonnormal stochastic differential equations
• A survey of mean-square destabilization of multidimensional linear stochastic differential systems with non-normal drift
• Stochastic asymptotical stability of the predator-free and positive equilibrium for food chain model with vigilance under stochastic perturbations

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Uses Software

• Eigtool

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