Stability analysis of second-order weak schemes for multi-dimensional stochastic differential systems

DOI10.1016/j.jfranklin.2010.01.011zbMath1229.65025MaRDI QIDQ647952

Marwan I. Abukhaled

Publication date: 22 November 2011

Published in: Journal of the Franklin Institute (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jfranklin.2010.01.011

zbMATH Keywords

weak convergence; numerical examples; stochastic differential equations; mean square stability; infinite logarithmic matrix norm

Mathematics Subject Classification ID

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

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

34F05: Ordinary differential equations and systems with randomness

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

65C30: Numerical solutions to stochastic differential and integral equations

Cites Work

• Mean-square stability of numerical schemes for stochastic differential systems
• Mean square stability of second-order weak numerical methods for stochastic differential equations.
• EXPECTATION STABILITY OF SECOND-ORDER WEAK NUMERICAL METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Stability of weak numerical schemes for stochastic differential equations
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