A brief review on stability investigations of numerical methods for systems of stochastic differential equations
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Publication:6572233
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- Accurate Stationary Densities with Partitioned Numerical Methods for Stochastic Differential Equations
- Almost sure asymptotic stability and convergence of stochastic theta methods applied to systems of linear SDEs in \(\mathbb R^d\)
- Almost sure asymptotic stability of drift-implicit \(\theta\)-methods for bilinear ordinary stochastic differential equations in \(\mathbb R^1\)
- An axiomatic approach to numerical approximations of stochastic processes
- An improved Milstein method for stiff stochastic differential equations
- Asymptotical mean square stability of an equilibrium point of some linear numerical solutions with multiplicative noise
- Balanced Implicit Methods for Stiff Stochastic Systems
- Basic concepts of numerical analysis of stochastic differential equations explained by balanced implicit theta methods
- Boundary Preserving Semianalytic Numerical Algorithms for Stochastic Differential Equations
- Convergence and stability of implicit Runge-Kutta methods for systems with multiplicative noise
- Convergence and stability of the semi-tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients
- Density function of numerical solution of splitting AVF scheme for stochastic Langevin equation
- Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
- Error Estimations for the Euler-Maruyama Approximate Solutions of Stochastic Differential Equations
- Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
- Exponential mean square stability of numerical methods for systems of stochastic differential equations
- Invariant measures of the Milstein method for stochastic differential equations with commutative noise
- Mean-Square and Asymptotic Stability of the Stochastic Theta Method
- Mean-square stability analysis of approximations of stochastic differential equations in infinite dimensions
- Mean-square stability analysis of numerical schemes for stochastic differential systems
- Mean-square stability of split-step theta Milstein methods for stochastic differential equations
- Modeling with Itô Stochastic Differential Equations
- Moment attractivity, stability and contractivity exponents of stochastic dynamical systems
- Numerical preservation of long-term dynamics by stochastic two-step methods
- Numerical solutions of stochastic differential equations -- implementation and stability issues
- On moment-dissipative stochastic dynamical systems
- Preservation of probabilistic laws through Euler methods for ornstein-uhlenbeck process
- Some experiments on numerical simulations of stochastic differential equations and a new algorithm
- Some problems in the simulation of nonlinear diffusion processes
- Split-step Milstein methods for multi-channel stiff stochastic differential systems
- Stability Analysis of Numerical Schemes for Stochastic Differential Equations
- Stability of numerical methods for ordinary stochastic differential equations along Lyapunov-type and other functions with variable step sizes
- The Invariance of Asymptotic Laws of Linear Stochastic Systems under Discretization
- The mean-square stability of numerical methods for solving stochastic differential equations
- The rate of convergence for approximate solutions of stochastic differential equations
- The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients
- The truncated Milstein method for stochastic differential equations with commutative noise
- \(A\)-stability and stochastic mean-square stability
- \(A\)-stability of Runge-Kutta methods for systems with additive noise
- \(MS\)-stability analysis for numerical solutions of stochastic differential equations -- beyond single-step single dim
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