A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods
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Publication:632730
DOI10.1016/j.matcom.2010.09.015zbMath1219.60066arXiv0912.1968OpenAlexW2032759951MaRDI 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
stochastic differential equationslinear stability analysis\(\theta\)-Maruyama methodasymptotic mean-square stability\(\theta \)-Milstein method
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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