Mean-square stability of numerical schemes for stochastic differential systems

zbMath1035.65009MaRDI QIDQ1411128

Taketomo Mitsui, Yoshihiro Saito

Publication date: 22 October 2003

Published in: Vietnam Journal of Mathematics (Search for Journal in Brave)

zbMATH Keywords

numerical experiments; mean square stability; Euler-Maruyama method; system of stochastic differential equations

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

65L20: Stability and convergence of numerical methods for ordinary differential equations

65L06: Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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