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

DOI10.1016/J.CAM.2016.01.043zbMATH Open1382.65017OpenAlexW2279424237MaRDI QIDQ268307FDOQ268307

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

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

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)

Cites Work

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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

Uses Software

• Eigtool

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