Nonnormality and stochastic differential equations

DOI10.1007/S10543-006-0067-YMaRDI QIDQ2433869zbMATH OpenOpenAlexFDO

Authors Desmond J. Higham, Xuerong Mao

Publication date 31 October 2006

Published in BIT (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10543-006-0067-y

zbMATH Keywords

destabilizationEuler-Maruyama methodsystem of Itô stochastic differential equations

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Numerical investigation of stability of solutions to ordinary differential equations (65L07) Stability and convergence of numerical methods for ordinary differential equations (65L20)

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Cites work

• A special stability problem for linear multistep methods
• Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
• G-stability is equivalent toA-stability
• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 1099342 (Why is no real title available?)
• scientific article; zbMATH DE number 940566 (Why is no real title available?)
• scientific article; zbMATH DE number 2212009 (Why is no real title available?)
• Hydrodynamic stability without eigenvalues

Cited in

(16)

• Non-Gaussian distribution for stock returns and related stochastic differential equation
• Normal forms for random differential equations
• Destabilising nonnormal stochastic differential equations
• Dynamics of a stochastic cholera epidemic model with Lévy process
• MS-stability of nonnormal stochastic differential systems
• Analysis of asymptotic mean-square stability of a class of Runge-Kutta schemes for linear systems of stochastic differential equations
• Finite-time stability and asynchronous resilient control for Itô stochastic semi-Markovian jump systems
• Linear mean-square stability properties of semi-implicit weak order 2.0 Taylor schemes for systems of stochastic differential equations
• Stabilized multilevel Monte Carlo method for stiff stochastic differential equations
• Split-step Milstein methods for multi-channel stiff stochastic differential systems
• ON ESTIMATION OF TRANSIENT STOCHASTIC STABILITY OF LINEAR SYSTEMS
• Stability of a stochastic discrete SIS epidemic model with general nonlinear incidence rate
• Nonlinear stochastic differential equations in statistical physics and integral representation.
• A survey of mean-square destabilization of multidimensional linear stochastic differential systems with non-normal drift
• Synchronization in directed nonlinear complex networks under intermittent stochastic control
• Lyapunov exponents for Hamiltonian systems under small Lévy-type perturbations

Describes a project that uses

Uses Software

• RODAS
• Eigtool

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