Analysis of asymptotic mean-square stability of a class of Runge-Kutta schemes for linear systems of stochastic differential equations
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Publication:2229893
DOI10.1016/j.matcom.2014.05.002OpenAlexW2049255307MaRDI QIDQ2229893
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
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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