Characterization of bistability for stochastic multistep methods

DOI10.1007/s10543-011-0341-5zbMath1243.65010OpenAlexW3105272132MaRDI QIDQ766224

Raphael Kruse

Publication date: 23 March 2012

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10543-011-0341-5

zbMATH Keywords

stabilityconvergenceconsistencybackward differentiation formulabistabilityBrownian motionsstochastic theta methodtwo-sided error estimatestochastic ordinary differential equationsItô-Taylor schemesMaruyamastochastic multistep methodstochastic Spijker norm

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (5)

Convergence of a Robust Deep FBSDE Method for Stochastic Control ⋮ Consistency and stability of a Milstein-Galerkin finite element scheme for semilinear SPDE ⋮ Mean-square convergence of the BDF2-Maruyama and backward Euler schemes for SDE satisfying a global monotonicity condition ⋮ Loss of regularity for Kolmogorov equations ⋮ Stochastic C-stability and B-consistency of explicit and implicit Milstein-type schemes

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