Mean-square stability analysis of numerical schemes for stochastic differential systems

DOI10.1016/j.cam.2012.01.002zbMath1239.65005OpenAlexW2005248345MaRDI QIDQ408200

M. J. Senosiain, Alicia Tocino

Publication date: 29 March 2012

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2012.01.002

zbMATH Keywords

Euler methodmean square stabilitystochastic differential systemslinear test systemstochastic theta methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (15)

Linear mean-square stability properties of semi-implicit weak order 2.0 Taylor schemes for systems of stochastic differential equations ⋮ Stochastic Runge-Kutta methods with deterministic high order for ordinary differential equations ⋮ Second-order balanced stochastic Runge-Kutta methods with multi-dimensional studies ⋮ MS-stability of nonnormal stochastic differential systems ⋮ Split S-ROCK methods for high-dimensional stochastic differential equations ⋮ A survey of mean-square destabilization of multidimensional linear stochastic differential systems with non-normal drift ⋮ Weak Second Order Explicit Exponential Runge--Kutta Methods for Stochastic Differential Equations ⋮ Modified stochastic theta methods by ODEs solvers for stochastic differential equations ⋮ A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems ⋮ Local stochastic stability of SIRS models without Lyapunov functions ⋮ Asymptotic mean-square stability of two-step Maruyama schemes for stochastic differential equations ⋮ Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion ⋮ Asymptotic mean-square stability of weak second-order balanced stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential systems ⋮ Destabilising nonnormal stochastic differential equations ⋮ Two-step Milstein schemes for stochastic differential equations

Cites Work

• A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods
• Convergence and stability of implicit Runge-Kutta methods for systems with multiplicative noise
• Mean-square stability of numerical schemes for stochastic differential systems
• \(A\)-stability and stochastic mean-square stability
• Towards a Systematic Linear Stability Analysis of Numerical Methods for Systems of Stochastic Differential Equations
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Mean Square Stability of a Class of Runge-Kutta Methods for 2-Dimensional Stochastic Differential Systems
• Stahle ROW-Type Weak Scheme for Stochastic Differential Equations
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Asymptotical mean square stability of an equilibrium point of some linear numerical solutions with multiplicative noise
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