On the stability of some second order numerical methods for weak approximation of Itô SDEs
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Publication:535255
DOI10.1007/S11075-010-9417-6zbMATH Open1219.65008OpenAlexW2039421080MaRDI QIDQ535255FDOQ535255
Authors: Amir Haghighi, S. Mohammad Hosseini 
Publication date: 11 May 2011
Published in: Numerical Algorithms (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11075-010-9417-6
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Cites Work
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- An algorithmic introduction to numerical simulation of stochastic differential equations
- Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis
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- On weak implicit and predictor-corrector methods
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- Stability of weak numerical schemes for stochastic differential equations
Cited In (10)
- EXPECTATION STABILITY OF SECOND-ORDER WEAK NUMERICAL METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS
- 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
- A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems
- Title not available (Why is that?)
- A class of split-step balanced methods for stiff stochastic differential equations
- Diagonally drift-implicit Runge-Kutta methods of strong order one for stiff stochastic differential systems
- Analysis of asymptotic mean-square stability of a class of Runge-Kutta schemes for linear systems of 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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