Analysis of asymptotic mean-square stability of a class of Runge-Kutta schemes for linear systems of stochastic differential equations
DOI10.1016/J.MATCOM.2014.05.002OpenAlexW2049255307MaRDI QIDQ2229893FDOQ2229893
Authors: Yanyan Li 
Publication date: 18 February 2021
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2014.05.002
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linear stability analysisstochastic differential systemsasymptotic mean-square stabilitystochastic Runge-Kutta schemesdiagonally drift-implicit Runge-Kutta schemes
Stochastic analysis (60Hxx) Numerical methods for ordinary differential equations (65Lxx) Probabilistic methods, stochastic differential equations (65Cxx)
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- On the stability of some second order numerical methods for weak approximation of Itô SDEs
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- Asymptotic mean-square stability of two-step methods for stochastic ordinary differential equations
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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
- Second-order balanced stochastic Runge-Kutta methods with multi-dimensional studies
- High strong order stochastic Runge-Kutta methods for Stratonovich stochastic differential equations with scalar noise
- Diagonally drift-implicit Runge-Kutta methods of strong order one for stiff stochastic differential systems
- Asymptotic mean‐square boundedness of the numerical solutions for stochastic complex‐valued neural networks with jumps
- Mean-square stability of 1.5 strong convergence orders of diagonally drift Runge-Kutta methods for a class of stochastic differential equations
- Feedback stabilization for a class of nonlinear stochastic systems with state- and control-dependent noise
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