Stability of numerical methods for solving stochastic differential equations

DOI10.1007/BF02104707MaRDI QIDQ1920836zbMATH OpenOpenAlexFDO

Authors S. S. Artem'ev

Publication date 14 August 1996

Published in Siberian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02104707

zbMATH Keywords

stochastic differential equationsmean square stabilityRosenbrock methods\(A\)-stabilitystiff systems

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear ordinary differential equations and systems (34A34) Ordinary differential equations and systems with randomness (34F05) Stability and convergence of numerical methods for ordinary differential equations (65L20) Multiple scale methods for ordinary differential equations (34E13) Numerical methods for initial value problems involving ordinary differential equations (65L05)

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Cites work

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• A special stability problem for linear multistep methods
• On the exponential stability and instability of linear stochastic systems

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• THE NUMERICAL STABILITY OF STOCHASTIC ORDINARY DIFFERENTIAL EQUATIONS WITH ADDITIVE NOISE
• Stable numerical methods for a stochastic nonlinear Schrödinger equation with linear multiplicative noise
• Mean-square stability analysis of numerical schemes for stochastic differential systems
• Numerical preservation issues in stochastic dynamical systems by \(\vartheta\)-methods
• Mean square stability and exponential stability of the semi-implicit derivative-free methods for solving stochastic differential equations
• Stability of numerical solution to pantograph stochastic functional differential equations
• Stable strong order 1.0 schemes for solving stochastic ordinary differential equations
• Almost sure asymptotic stability of drift-implicit -methods for bilinear ordinary stochastic differential equations in R^1
• Asymptotic moment boundedness of the numerical solutions of stochastic differential equations
• Numerical stability of the method of Brownian configuration fields
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