Asymptotic mean-square stability of weak second-order balanced stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential systems

DOI10.1016/j.amc.2018.03.065zbMath1427.65008OpenAlexW2796288903MaRDI QIDQ2333245

Priya Nair, A. Rathinasamy

Publication date: 12 November 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2018.03.065

zbMATH Keywords

stochastic differential equationsnumerical solutionsstochastic Runge-Kutta methodsmean-square stability analysismulti-dimensional systemsbalanced stochastic Runge-Kutta methods

Mathematics Subject Classification ID

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)

Related Items (4)

Mean-square stability of a constructed Third-order stochastic Runge--Kutta schemes for general stochastic differential equations ⋮ Second-order balanced stochastic Runge-Kutta methods with multi-dimensional studies ⋮ Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model ⋮ Stability analysis of high order Runge-Kutta methods for index 1 stochastic differential-algebraic equations with scalar noise

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