A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods

DOI10.1016/j.matcom.2010.09.015zbMath1219.60066arXiv0912.1968MaRDI QIDQ632730

Evelyn Buckwar, Thorsten Sickenberger

Publication date: 25 March 2011

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0912.1968

zbMATH Keywords

stochastic differential equations; linear stability analysis; \(\theta\)-Maruyama method; asymptotic mean-square stability; \(\theta \)-Milstein method

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

65L20: Stability and convergence of numerical methods for ordinary differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

Related Items

Mean-square stability and error analysis of implicit time-stepping schemes for linear parabolic SPDEs with multiplicative Wiener noise in the first derivative, Five-stage Milstein methods for SDEs, Almost sure asymptotic stability analysis of the θ-Maruyama method applied to a test system with stabilising and destabilising stochastic perturbations, 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, Mean-square stability analysis of numerical schemes for stochastic differential systems, A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems, Physically consistent simulation of mesoscale chemical kinetics: the non-negative FIS-\(\alpha\) method, Split-step Milstein methods for multi-channel stiff stochastic differential systems, A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise, Two-step Milstein schemes for stochastic differential equations, A derivative-free explicit method with order 1.0 for solving stochastic delay differential equations, Asymptotic mean-square stability of two-step Maruyama schemes for stochastic differential equations, A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise, THE NUMERICAL STABILITY OF STOCHASTIC ORDINARY DIFFERENTIAL EQUATIONS WITH ADDITIVE NOISE

Uses Software

• RODAS

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