A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise
From MaRDI portal
Publication:2516804
DOI10.1007/s40314-014-0140-0zbMath1322.65020OpenAlexW2095260957MaRDI QIDQ2516804
Publication date: 4 August 2015
Published in: Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40314-014-0140-0
stochastic differential equationsA-stabilitystrong approximationstiff systemmean-square stabilitystochastic Runge-Kutta methods
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for stiff equations (65L04)
Related Items (10)
Mean-square numerical approximations to random periodic solutions of stochastic differential equations ⋮ Analytical and numerical investigation of stochastic differential equations with applications using an exponential Euler-Maruyama approach ⋮ Strong stability-preserving three-derivative Runge-Kutta methods ⋮ Solving the stochastic differential systems with modified split-step Euler-Maruyama method ⋮ Dynamical analysis in explicit continuous iteration algorithm and its applications ⋮ Convergence and asymptotical stability of numerical solutions for neutral stochastic delay differential equations driven by \(G\)-Brownian motion ⋮ Numerical study on stochastic diabetes mellitus model with additive noise ⋮ Stochastic shadowing analysis of a class of stochastic differential equations ⋮ Numerical study on Zika epidemic early warning algorithms driven by dynamical network biomarker ⋮ Study on split-step Rosenbrock type method for stiff stochastic differential systems
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems
- Exponential mean square stability of numerical methods for systems of stochastic differential equations
- A Runge-Kutta method for index 1 stochastic differential-algebraic equations with scalar noise
- Stability analysis and classification of Runge-Kutta methods for index 1 stochastic differential-algebraic equations with scalar noise
- On the stability of some second order numerical methods for weak approximation of Itô SDEs
- A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods
- Almost surely asymptotic stability of numerical solutions for neutral stochastic delay differential equations
- A note on the balanced method
- Multi-colored rooted tree analysis of the weak order conditions of a stochastic Runge-Kutta family
- Mean-square stability of second-order Runge-Kutta methods for multi-dimensional linear stochastic differential systems
- Three-stage stochastic Runge-Kutta methods for stochastic differential equations
- Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis
- Split-step backward balanced Milstein methods for stiff stochastic systems
- The fully implicit stochastic-\(\alpha \) method for stiff stochastic differential equations
- \(A\)-stability of Runge-Kutta methods for systems with additive noise
- Convergence and stability of implicit Runge-Kutta methods for systems with multiplicative noise
- Stochastic stabilization and destabilization
- Mean-square stability of numerical schemes for stochastic differential systems
- \(A\)-stability and stochastic mean-square stability
- A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise
- Mean-square stability of second-order Runge-Kutta methods for stochastic differential equations
- Numerical solutions of stochastic differential equations -- implementation and stability issues
- Strong first order \(S\)-ROCK methods for stochastic differential equations
- Linear mean-square stability analysis of weak order 2.0 semi-implicit Taylor schemes for scalar stochastic differential equations
- High order local linearization methods: an approach for constructing A-stable explicit schemes for stochastic differential equations with additive noise
- Mean-square \(A\)-stable diagonally drift-implicit integrators of weak second order for stiff Itô stochastic differential equations
- Almost sure and moment exponential stability of predictor-corrector methods for stochastic differential equations
- Computational system identification for Bayesian NARMAX modelling
- High Weak Order Methods for Stochastic Differential Equations Based on Modified Equations
- A User’s View of Solving Stiff Ordinary Differential Equations
- Towards a Systematic Linear Stability Analysis of Numerical Methods for Systems of Stochastic Differential Equations
- Discrete Gradient Approach to Stochastic Differential Equations with a Conserved Quantity
- S-ROCK: Chebyshev Methods for Stiff Stochastic Differential Equations
- Balanced Implicit Methods for Stiff Stochastic Systems
- Mean-Square and Asymptotic Stability of the Stochastic Theta Method
- Mean Square Stability of a Class of Runge-Kutta Methods for 2-Dimensional Stochastic Differential Systems
- Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
- Stability Analysis of Numerical Schemes for Stochastic Differential Equations
- Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations
- Analysis of multiscale methods for stochastic differential equations
- Numerical Methods for Ordinary Differential Equations
- Implicit Taylor methods for stiff stochastic differential equations
This page was built for publication: A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise
