On the stability of some second order numerical methods for weak approximation of Itô SDEs
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Publication:535255
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Cites work
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- A General Implicit Splitting for Stabilizing Numerical Simulations of Itô Stochastic Differential Equations
- A new adaptive Runge-Kutta method for stochastic differential equations
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- Balanced Implicit Methods for Stiff Stochastic Systems
- Convergence and stability of implicit Runge-Kutta methods for systems with multiplicative noise
- Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis
- Families of efficient second order Runge-Kutta methods for the weak approximation of Itô stochastic differential equations
- Implicit Taylor methods for stiff stochastic differential equations
- Mean-Square and Asymptotic Stability of the Stochastic Theta Method
- Mean-square stability of numerical schemes for stochastic differential systems
- Numerical solutions of stochastic differential equations -- implementation and stability issues
- On weak implicit and predictor-corrector methods
- Runge-Kutta methods for Itô stochastic differential equations with scalar noise
- Second order Runge-Kutta methods for Stratonovich stochastic differential equations
- Stability Analysis of Numerical Schemes for Stochastic Differential Equations
- Stability of weak numerical schemes for stochastic differential equations
- Stahle ROW-Type Weak Scheme for Stochastic Differential Equations
- Stiffly accurate Runge-Kutta methods for stiff stochastic differential equations
Cited in
(11)- A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise
- Linear mean-square stability properties of semi-implicit weak order 2.0 Taylor schemes for systems of stochastic differential equations
- Analysis of asymptotic mean-square stability of a class of Runge-Kutta schemes for linear systems of stochastic differential equations
- Diagonally drift-implicit Runge-Kutta methods of strong order one for stiff stochastic differential systems
- EXPECTATION STABILITY OF SECOND-ORDER WEAK NUMERICAL METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS
- MS-stability analysis of predictor-corrector schemes for stochastic differential equations
- A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems
- scientific article; zbMATH DE number 844583 (Why is no real title available?)
- A class of split-step balanced methods for stiff stochastic differential equations
- Mean-square stability of 1.5 strong convergence orders of diagonally drift Runge-Kutta methods for a class of stochastic differential equations
- Non-diminishing relative error of the predictor-corrector algorithm for certain fractional differential equations
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