Mean square stability and exponential stability of the semi-implicit derivative-free methods for solving stochastic differential equations

MaRDI QIDQ3501182zbMATH OpenFDO

Authors Feng Yin, Pengfei Wang, Xiao-Lin Lin

Publication date 3 June 2008

zbMATH Keywords

stochastic differential equationexponential stabilitymean-square stabilitysemi-implicit derivative-free methods

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) Stability and convergence of numerical methods for ordinary differential equations (65L20)

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Cited in

(1)

• Exponential mean-square stability properties of stochastic linear multistep methods

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