Towards a Systematic Linear Stability Analysis of Numerical Methods for Systems of Stochastic Differential Equations
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Publication:3078558
DOI10.1137/090771843zbMath1221.60077MaRDI QIDQ3078558
Publication date: 28 February 2011
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/090771843
stabilization; linear stability analysis; systems of stochastic differential equations; theta method; destabilization
65C20: Probabilistic models, generic numerical methods in probability and statistics
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
65L20: Stability and convergence of numerical methods for ordinary differential equations
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
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