Stability analysis of second-order weak schemes for multi-dimensional stochastic differential systems

DOI10.1016/J.JFRANKLIN.2010.01.011MaRDI QIDQ647952zbMATH OpenOpenAlexFDO

Authors Marwan Abukhaled

Publication date 22 November 2011

Published in Journal of the Franklin Institute (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jfranklin.2010.01.011

zbMATH Keywords

numerical examplesweak convergencestochastic differential equationsmean square stabilityinfinite logarithmic matrix norm

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Recommendations

• On Stability of Weak Schemes for Stochastic Differential Systems With One Multiplicative Noise
• Mean-square stability of second-order Runge-Kutta methods for multi-dimensional linear stochastic differential systems
• Mean square stability of second-order weak numerical methods for stochastic differential equations.
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Cites work

• scientific article; zbMATH DE number 2152719 (Why is no real title available?)
• scientific article; zbMATH DE number 4118220 (Why is no real title available?)
• EXPECTATION STABILITY OF SECOND-ORDER WEAK NUMERICAL METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS
• Mean square stability of second-order weak numerical methods for stochastic differential equations.
• Mean-square stability of numerical schemes for stochastic differential systems
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Stability of weak numerical schemes for stochastic differential equations

Cited in

(6)

• On Stability of Weak Schemes for Stochastic Differential Systems With One Multiplicative Noise
• A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems
• Mean square stability of second-order weak numerical methods for stochastic differential equations.
• Multi-colored rooted tree analysis of the weak order conditions of a stochastic Runge-Kutta family
• EXPECTATION STABILITY OF SECOND-ORDER WEAK NUMERICAL METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS
• Mean-square stability of second-order Runge-Kutta methods for multi-dimensional linear stochastic differential systems

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