Stability of the Heun methods for solving stochastic differential equations
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stochastic differential equationexponential stabilitymean square stabilityHeun method\( T\)-stability
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)
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- scientific article; zbMATH DE number 7403939
- Numerical stability of Heun's method for nonlinear stochastic delay differential equations
Cited in
(10)- scientific article; zbMATH DE number 7403939 (Why is no real title available?)
- Heun method for numerically solving stochastic differential equations with discontinuous coefficients
- Stability of the PL method and RS method for solving stochastic differential equations
- Convergence of the Heun method for solving stochastic differential equations
- Stability region of balanced \(\theta\)-Heun method for stochastic differential equations
- Mean square stability and exponential stability of the semi-implicit derivative-free methods for solving stochastic differential equations
- Stability of Heun's method for solving stochastic differential equations with variable delay
- Numerical solution of Heun equation via linear stochastic differential equation
- Stability of -Heun method for stochastic differential equations
- Stability of the multistep methods of linear stochastic differential equations
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