Linear mean-square stability analysis of weak order 2.0 semi-implicit Taylor schemes for scalar stochastic differential equations

DOI10.1016/J.APNUM.2013.01.004MaRDI QIDQ1946154zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 18 April 2013

Published in Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.apnum.2013.01.004

zbMATH Keywords

mean-square stabilitynumerical experimentssemi-implicit schemesstiff stochastic differential equationsstochastic Taylor schemeweak approximations

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) 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) Numerical methods for stiff equations (65L04) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Review text

Mean square (MS) stability of semi-implicit weak order 2.0 Taylor schemes, called \((\theta,\beta)\) methods, for solving scalar Itô stochastic differential equations (SDE) of the form \[ dX_t= a(t,X_t)\,dt+ b(t, X_t)\,dW_t,\quad X_{t_0}= c, \] is studied. Relationships between the domain of stability of the SDE and that of \((\theta,\beta)\) methods approximating it are derived. Results of numerical experiments on the test SDE \(dX+t=\lambda X_t dt+\mu X_t dW_t\) are presented that show that the predicted stability behavior occurs. For \(0\leq\beta\leq 1\), a condition on the stepsize is established as necessary and sufficient for MS stability of the \(({1\over 2},\beta)\) scheme when the SDE being approximated is MS stable.

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Cited in

(7)

• Asymptotic mean-square stability of weak second-order balanced stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential systems
• Asymptotic mean-square stability of two-step Maruyama schemes for stochastic differential equations
• A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise
• Linear mean-square stability properties of semi-implicit weak order 2.0 Taylor schemes for systems of stochastic differential equations
• MS-stability analysis of predictor-corrector schemes for stochastic differential equations
• Modifying the split-step -method with harmonic-mean term for stochastic differential equations
• Higher-order semi-implicit Taylor schemes for Itô stochastic differential equations

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