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 QIDQ2229893

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)

Related Items (7)

High strong order stochastic Runge-Kutta methods for Stratonovich stochastic differential equations with scalar noise ⋮ Second-order balanced stochastic Runge-Kutta methods with multi-dimensional studies ⋮ Asymptotic mean‐square boundedness of the numerical solutions for stochastic complex‐valued neural networks with jumps ⋮ Feedback stabilization for a class of nonlinear stochastic systems with state- and control-dependent noise ⋮ Mean-square stability of 1.5 strong convergence orders of diagonally drift Runge-Kutta methods for a class of stochastic differential equations ⋮ Diagonally drift-implicit Runge-Kutta methods of strong order one for stiff stochastic differential systems ⋮ Asymptotic mean-square stability of weak second-order balanced stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential systems

Uses Software

• RODAS

Cites Work

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