scientific article; zbMATH DE number 1080301

MaRDI QIDQ4361695zbMATH OpenFDO

Authors Lev Ryashko, Henri Schurz

Publication date 28 October 1997

zbMATH Keywords

equilibria of linear systemsmean square stability analysisnumerical methodsstochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Monte Carlo methods (65C05) Probabilistic models, generic numerical methods in probability and statistics (65C20) Probabilistic methods, stochastic differential equations (65C99)

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• Basic concepts of numerical analysis of stochastic differential equations explained by balanced implicit theta methods
• Numerical solution of random differential initial value problems: Multistep methods
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• A survey of mean-square destabilization of multidimensional linear stochastic differential systems with non-normal drift
• On asymptotic behavior of solutions of linear multidimensional stochastic differential equations with multiplicative noise
• Optimal mean square E-stability of some balanced midpoint Milstein methods for stochastic differential equations in \(\mathbb{C}^1\)
• Explicit iterative algorithm with optimal tuning parameter for stochastic Lyapunov matrix equation
• Mean square A- and L-stability of balanced midpoint Milstein methods for one-dimensional bi-linear stochastic differential equations

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