Analysis of asymptotic mean-square stability of a class of Runge-Kutta schemes for linear systems of stochastic differential equations

DOI10.1016/J.MATCOM.2014.05.002MaRDI QIDQ2229893zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

linear stability analysisstochastic differential systemsasymptotic mean-square stabilitystochastic Runge-Kutta schemesdiagonally drift-implicit Runge-Kutta schemes

Mathematics Subject Classification ID

Stochastic analysis (60Hxx) Numerical methods for ordinary differential equations (65Lxx) Probabilistic methods, stochastic differential equations (65Cxx)

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Cites work

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• A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems
• Asymptotic mean-square stability of two-step methods for stochastic ordinary differential equations
• Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis
• Families of efficient second order Runge-Kutta methods for the weak approximation of Itô stochastic differential equations
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Mean-square stability of numerical schemes for stochastic differential systems
• Mean-square stability of second-order Runge-Kutta methods for multi-dimensional linear 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
• On the stability of some second order numerical methods for weak approximation of Itô SDEs
• On weak implicit and predictor-corrector methods
• 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

(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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