Towards a Systematic Linear Stability Analysis of Numerical Methods for Systems of Stochastic Differential Equations
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Publication:3078558
DOI10.1137/090771843zbMath1221.60077OpenAlexW2030456910MaRDI 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
stabilizationlinear stability analysissystems of stochastic differential equationstheta methoddestabilization
Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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