Linear mean-square stability properties of semi-implicit weak order 2.0 Taylor schemes for systems of stochastic differential equations

DOI10.1016/J.CAM.2016.01.043MaRDI QIDQ268307zbMATH OpenOpenAlexFDO

Authors A. S. Fatemion Aghda, S. Mohammad Hosseini

Publication date 14 April 2016

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2016.01.043

zbMATH Keywords

MS-stabilitynormal and non-normal test systemssemi-implicit Taylor schemesstochastic differential equation (SDE)

Mathematics Subject Classification ID

Stability of solutions to ordinary differential equations (34D20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Recommendations

• Linear mean-square stability analysis of weak order 2.0 semi-implicit Taylor schemes for scalar stochastic differential equations
• Stability of weak numerical schemes for stochastic differential equations
• Higher-order semi-implicit Taylor schemes for Itô stochastic differential equations
• Two-step Milstein schemes for stochastic differential equations
• Asymptotic mean-square stability of two-step Maruyama schemes for stochastic differential equations

Cites work

• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 1796810 (Why is no real title available?)
• scientific article; zbMATH DE number 2212009 (Why is no real title available?)
• A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems
• A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods
• A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems
• Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations
• Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis
• Exponential mean square stability of numerical methods for systems of stochastic differential equations
• Higher-order semi-implicit Taylor schemes for Itô stochastic differential equations
• Linear mean-square stability analysis of weak order 2.0 semi-implicit Taylor schemes for scalar stochastic differential equations
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Mean-square stability analysis of numerical schemes for stochastic differential systems
• Mean-square stability of numerical schemes for stochastic differential systems
• Non-normal drift structures and linear stability analysis of numerical methods for systems of stochastic differential equations
• Nonnormality and stochastic differential equations
• Numerical solutions of stochastic differential equations -- implementation and stability issues
• On the stability of some second order numerical methods for weak approximation of Itô SDEs
• Second order Runge-Kutta methods for Itô stochastic differential equations
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• THE NUMERICAL SOLUTION OF NONLINEAR STOCHASTIC DYNAMICAL SYSTEMS: A BRIEF INTRODUCTION
• Towards a systematic linear stability analysis of numerical methods for systems of stochastic differential equations
• Weak Approximation of Solutions of Systems of Stochastic Differential Equations
• \(A\)-stability and stochastic mean-square stability

Cited in

(2)

• Solving the stochastic differential systems with modified split-step Euler-Maruyama method
• Linear mean-square stability analysis of weak order 2.0 semi-implicit Taylor schemes for scalar stochastic differential equations

Describes a project that uses

Uses Software

• Eigtool

This page was built for publication: Linear mean-square stability properties of semi-implicit weak order 2.0 Taylor schemes for systems of stochastic differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q268307)