Mean-square stability of second-order Runge-Kutta methods for multi-dimensional linear stochastic differential systems

DOI10.1016/j.cam.2007.07.019zbMath1148.65006OpenAlexW2004828755MaRDI QIDQ935778

A. Rathinasamy, Krishnan Balachandran

Publication date: 8 August 2008

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2007.07.019

zbMATH Keywords

numerical experimentsmean-square stabilitymulti-dimensional linear stochastic differential systemsone multiplicative noisesecond-order Runge-Kutta methods

Mathematics Subject Classification ID

Numerical computation of solutions to systems of equations (65H10) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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