Convergence and asymptotic stability of the explicit Steklov method for stochastic differential equations

DOI10.1016/J.CAM.2015.01.016MaRDI QIDQ491006zbMATH OpenOpenAlexFDO

Authors S. Díaz-Infante, Silvia Jerez

Publication date 24 August 2015

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.2015.01.016

zbMATH Keywords

convergenceasymptotic stabilitylogistic equationstochastic differential equationsexplicit methodsBD simulation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Recommendations

• Convergence and asymptotic stability of an explicit numerical method for non-autonomous stochastic differential equations
• Strong convergence and asymptotic stability of explicit numerical schemes for nonlinear stochastic differential equations
• Convergence analysis of explicit stabilized integrators for parabolic semilinear stochastic PDEs
• scientific article; zbMATH DE number 3990826
• scientific article; zbMATH DE number 1368826
• The Strong Convergence and Numerical Stability of Multistep Approximations of Solutions of Stochastic Ordinary Differential Equations
• Explicit methods for stiff stochastic differential equations
• Asymptotic mean-square stability of two-step methods for stochastic ordinary differential equations
• Stability of the multistep methods of linear stochastic differential equations

Cites work

• scientific article; zbMATH DE number 5157256 (Why is no real title available?)
• scientific article; zbMATH DE number 1201579 (Why is no real title available?)
• scientific article; zbMATH DE number 1341828 (Why is no real title available?)
• scientific article; zbMATH DE number 3191390 (Why is no real title available?)
• Balanced Implicit Methods for Stiff Stochastic Systems
• Exact Difference Schemes for Time-dependent Problems
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Modeling with Itô Stochastic Differential Equations
• Numerical analysis of explicit one-step methods for stochastic delay differential equations
• Numerical methods for strong solutions of stochastic differential equations: an overview
• Probability with Martingales
• Quasi-symplectic methods for Langevin-type equations
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Stability analysis of a stochastic logistic model with nonlinear diffusion term
• Stability of random attractors under perturbation and approximation
• Stochastic methods. A handbook for the natural and social sciences
• Stochastic processes in physics and chemistry.
• Stochastically stable one-step approximations of solutions of stochastic ordinary differential equations
• THE NUMERICAL STABILITY OF STOCHASTIC ORDINARY DIFFERENTIAL EQUATIONS WITH ADDITIVE NOISE
• The pathwise numerical approximation of stationary solutions of semilinear stochastic evolution equations
• The stochastic logistic equation: stationary solutions and their stability
• \(A\)-stability and stochastic mean-square stability
• \(A\)-stability of Runge-Kutta methods for systems with additive noise

Cited in

(9)

• Editorial: Mathematical modeling and computational methods
• Study of micro-macro acceleration schemes for linear slow-fast stochastic differential equations with additive noise
• Stochastic asymptotic analysis of a multi-host model with vector transmission
• The linear Steklov method for SDEs with non-globally Lipschitz coefficients: strong convergence and simulation
• Improving the approximation of the first- and second-order statistics of the response stochastic process to the random Legendre differential equation
• Analytical and numerical investigation of stochastic differential equations with applications using an exponential Euler-Maruyama approach
• Exact difference schemes for stochastic differential equations
• A stable numerical scheme for stochastic differential equations with multiplicative noise
• Random non-autonomous second order linear differential equations: mean square analytic solutions and their statistical properties

This page was built for publication: Convergence and asymptotic stability of the explicit Steklov method for stochastic differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q491006)