Some issues in discrete approximate solution for stochastic differential equations
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The paper investigates the stability of numerical solutions of stochastic differential equations. A two-dimensional linear test equation with multiplicative noise is suggested for the study of numerical stability of a given numerical scheme.
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Cites work
- Higher-order implicit strong numerical schemes for stochastic differential equations
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- Simulation of stochastic differential equations
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- Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations
- Stability of numerical methods for ordinary stochastic differential equations along Lyapunov-type and other functions with variable step sizes
- Mean-square stability properties of an adaptive time-stepping SDE solver
- Discrete approximation of stochastic differential equations
- Stability in Distribution of Numerical Solutions for Stochastic Differential Equations
- Stability of Stochastic Differential Equations Under Discretization
- Weak second order S-ROCK methods for Stratonovich stochastic differential equations
- Investigation on stability of numerical schemes of stochastic differential equations: a survey
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- A revisit of stochastic theta method with some improvements
- Convergence and stability of the canonical EM splitting method for nonautonomous stiff stochastic differential equations
- Stability Analysis of Numerical Schemes for Stochastic Differential Equations
- Convergence and stability of the split-step \(\theta \)-method for stochastic differential equations
- How do Monte Carlo estimates affect stochastic geometric numerical integration?
- Exponential stability of equidistant Euler-Maruyama approximations of stochastic differential delay equations
- Mean-square stability of second-order Runge-Kutta methods for multi-dimensional linear stochastic differential systems
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