Mean-square stability of second-order Runge-Kutta methods for stochastic differential equations

DOI10.1016/j.cam.2004.05.019zbMath1063.65009MaRDI QIDQ1765478

Xianqiang Yang

Publication date: 23 February 2005

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.2004.05.019

zbMATH Keywords

Stability; Numerical examples; Stochastic differential equations; Stability domains; Second moment stability; Stochastic Runge-Kutta schemes

Mathematics Subject Classification ID

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

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

34F05: Ordinary differential equations and systems with randomness

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