Stability Analysis of Numerical Schemes for Stochastic Differential Equations
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Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic models, generic numerical methods in probability and statistics (65C20) Probabilistic methods, stochastic differential equations (65C99) Stability and convergence of numerical methods for ordinary differential equations (65L20)
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(only showing first 100 items - show all)- On mean-square stability properties of a new adaptive stochastic Runge-Kutta method
- Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis
- Split-step backward balanced Milstein methods for stiff stochastic systems
- The fully implicit stochastic-\(\alpha \) method for stiff stochastic differential equations
- Some issues in discrete approximate solution for stochastic differential equations
- Mean-square stability of numerical schemes for stochastic differential systems
- Mean square stability of second-order weak numerical methods for stochastic differential equations.
- Almost sure exponential stability of an explicit stochastic orthogonal Runge-Kutta-Chebyshev method for stochastic delay differential equations
- Convergence and stability of the compensated split-step theta method for stochastic differential equations with piecewise continuous arguments driven by Poisson random measure
- Mean square stability of two classes of theta methods for numerical computation and simulation of delayed stochastic Hopfield neural networks
- On the stability of -methods for stochastic Volterra integral equations
- Mean-square stability analysis of approximations of stochastic differential equations in infinite dimensions
- Convergence and stability of two classes of theta-Milstein schemes for stochastic differential equations
- Stability equivalence between the neutral delayed stochastic differential equations and the Euler-Maruyama numerical scheme
- Exponential mean-square stability of the improved split-step theta methods for non-autonomous stochastic differential equations
- Mean-square stability of split-step theta Milstein methods for stochastic differential equations
- Numerical schemes for stochastic differential equations with variable and distributed delays: the interpolation approach
- The semimartingale approach to almost sure stability analysis of a two-stage numerical method for stochastic delay differential equation
- Convergence rate and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments
- A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise
- Stable strong order 1.0 schemes for solving stochastic ordinary differential equations
- Mean-square stability of second-order Runge-Kutta methods for stochastic differential equations
- Almost sure asymptotic stability of drift-implicit -methods for bilinear ordinary stochastic differential equations in R^1
- Implicit Milstein method for stochastic differential equations via the Wong-Zakai approximation
- An improved Milstein method for stiff stochastic differential equations
- Numerical solutions of stochastic differential equations -- implementation and stability issues
- Numerical solutions of stochastic differential delay equations under local Lipschitz condition
- Numerical simulation of a linear stochastic oscillator with additive noise
- Numerical solutions of doubly perturbed stochastic delay differential equations driven by Lévy process
- Linear mean-square stability analysis of weak order 2.0 semi-implicit Taylor schemes for scalar stochastic differential equations
- High order local linearization methods: an approach for constructing A-stable explicit schemes for stochastic differential equations with additive noise
- On the MS-stability of predictor-corrector schemes for stochastic differential equations
- Stability of the drift-implicit and double-implicit Milstein schemes for nonlinear SDEs
- Delay dependent stability of stochastic split-step \(\theta\) methods for stochastic delay differential equations
- Strong convergence and exponential stability of stochastic differential equations with piecewise continuous arguments for non-globally Lipschitz continuous coefficients
- Mean square stability and almost sure exponential stability of two step Maruyama methods of stochastic delay Hopfield neural networks
- Convergence and stability of a numerical method for nonlinear stochastic pantograph equations
- Runge-Kutta Lawson schemes for stochastic differential equations
- Convergence, non-negativity and stability of a new lobatto IIIC-Milstein method for a pricing option approach based on stochastic volatility model
- A two-parameter Milstein method for stochastic Volterra integral equations
- Stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential algebraic equations
- Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion
- Mean square stability of stochastic theta method for stochastic differential equations driven by fractional Brownian motion
- Numerical preservation issues in stochastic dynamical systems by -methods
- Improving split-step forward methods by ODE solver for stiff stochastic differential equations
- Convergence, non-negativity and stability of a new tamed Euler-Maruyama scheme for stochastic differential equations with Hölder continuous diffusion coefficient
- Second-order balanced stochastic Runge-Kutta methods with multi-dimensional studies
- MS-stability of nonnormal stochastic differential systems
- A-stability preserving perturbation of Runge-Kutta methods for stochastic differential equations
- Euler-Maruyama scheme for Caputo stochastic fractional differential equations
- Mean-square stability and convergence of a split-step theta method for stochastic Volterra integral equations
- Solving the stochastic differential systems with modified split-step Euler-Maruyama method
- Modified stochastic theta methods by ODEs solvers for stochastic differential equations
- Improved \(\vartheta\)-methods for stochastic Volterra integral equations
- Analysis of asymptotic mean-square stability of a class of Runge-Kutta schemes for linear systems of stochastic differential equations
- Exponential discrete gradient schemes for a class of stochastic differential equations
- Stability equivalence among stochastic differential equations and stochastic differential equations with piecewise continuous arguments and corresponding Euler-Maruyama methods
- Mean-square stability of 1.5 strong convergence orders of diagonally drift Runge-Kutta methods for a class of stochastic differential equations
- Deterministic implicit two-step Milstein methods for stochastic differential equations
- Split-step balanced \(\theta \)-method for SDEs with non-globally Lipschitz continuous coefficients
- Mean square polynomial stability of numerical solutions to a class of stochastic differential equations
- Almost sure exponential stability of numerical solutions for stochastic delay differential equations with jumps
- Choice of \({\theta}\) and mean-square exponential stability in the stochastic theta method of stochastic differential equations
- Mean square stability and dissipativity of two classes of theta methods for systems of stochastic delay differential equations
- Almost sure exponential stability of the backward Euler-Maruyama scheme for stochastic delay differential equations with monotone-type condition
- Stability analysis of high order Runge-Kutta methods for index 1 stochastic differential-algebraic equations with scalar noise
- Numerical algorithms for solving discrete Lyapunov tensor equation
- Numerical simulations and modeling for stochastic biological systems with jumps
- Stability issues for selected stochastic evolutionary problems: a review
- Numerical treatment of stochastic delay differential equations: a global error bound
- Generalized two-step Maruyama methods for stochastic differential equations
- Asymptotic mean-square stability of weak second-order balanced stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential systems
- Exponential mean square stability of the theta approximations for neutral stochastic differential delay equations
- A class of balanced stochastic Runge-Kutta methods for stiff SDE systems
- Two-step Milstein schemes for stochastic differential equations
- Two-step strong order 1.5 schemes for stochastic differential equations
- Mean-square \(A\)-stable diagonally drift-implicit integrators of weak second order for stiff Itô stochastic differential equations
- Almost sure and moment exponential stability of predictor-corrector methods for stochastic differential equations
- Asymptotic moment boundedness of the numerical solutions of stochastic differential equations
- A derivative-free explicit method with order 1.0 for solving stochastic delay differential equations
- Preserving exponential mean-square stability in the simulation of hybrid stochastic differential equations
- Almost sure and moment exponential stability of Euler-Maruyama discretizations for hybrid stochastic differential equations
- An analysis of stability of Milstein method for stochastic differential equations with delay
- Reliability of difference analogues to preserve stability properties of stochastic Volterra integro-differential equations
- Explorations of a family of stochastic Newmark methods in engineering dynamics
- Mean-square stability properties of an adaptive time-stepping SDE solver
- Asymptotic mean-square stability of two-step methods for stochastic ordinary differential equations
- Mean-square exponential stability of stochastic theta methods for nonlinear stochastic delay integro-differential equations
- Asymptotic mean-square stability of two-step Maruyama schemes for stochastic differential equations
- A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise
- Exponential stability in \(p\)-th mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations
- Numerical solution of stochastic differential problems in the biosciences
- Numerical solution of stochastic state-dependent delay differential equations: convergence and stability
- Linear mean-square stability properties of semi-implicit weak order 2.0 Taylor schemes for systems of stochastic differential equations
- Analytical and numerical investigation of stochastic differential equations with applications using an exponential Euler-Maruyama approach
- Numerical analysis of explicit one-step methods for stochastic delay differential equations
- Mean square stability of two classes of theta method for neutral stochastic differential delay equations
- Explicit methods for stiff stochastic differential equations
- Basic concepts of numerical analysis of stochastic differential equations explained by balanced implicit theta methods
- The improved split-step θ methods for stochastic differential equation
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