THE NUMERICAL STABILITY OF STOCHASTIC ORDINARY DIFFERENTIAL EQUATIONS WITH ADDITIVE NOISE

DOI10.1142/S0219493711003279zbMATH Open1236.60067OpenAlexW2153531159MaRDI QIDQ3173988FDOQ3173988

Authors: Evelyn Buckwar, Martin Georg Riedler, Peter E. Kloeden 

Publication date: 11 October 2011

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219493711003279

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zbMATH Keywords

numerical methodsrandom attractoradditive noise

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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 (13)

• High Order Integrator for Sampling the Invariant Distribution of a Class of Parabolic Stochastic PDEs with Additive Space-Time Noise
• Study of micro-macro acceleration schemes for linear slow-fast stochastic differential equations with additive noise
• Perturbation-based inference for diffusion processes: Obtaining effective models from multiscale data
• The Monte Carlo wave-function method: a robust adaptive algorithm and a study in convergence
• Numerical stationary distribution and its convergence for nonlinear stochastic differential equations
• \(A\)-stability of Runge-Kutta methods for systems with additive noise
• Mean-square contractivity of stochastic \(\vartheta\)-methods
• Convergence and asymptotic stability of the explicit Steklov method for stochastic differential equations
• A numerical method for some stochastic differential equations with multiplicative noise
• A Micro-Macro Acceleration Method for the Monte Carlo Simulation of Stochastic Differential Equations
• Mean-square stability of 1.5 strong convergence orders of diagonally drift Runge-Kutta methods for a class of stochastic differential equations
• Numerical simulation of a linear stochastic oscillator with additive noise
• Mean Square Stability of a Class of Runge-Kutta Methods for 2-Dimensional Stochastic Differential Systems

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