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

zbMATH Open1150.65306MaRDI QIDQ3501182FDOQ3501182

Authors: Feng Yin, Pengfei Wang, Xiao-Lin Lin 

Publication date: 3 June 2008

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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)

Cited In (1)

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

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