Stability of the multistep methods of linear stochastic differential equations
exponential stabilitymean square stabilitymultistep methodnumerical experimentsstochastic differential equationT-stabilityWiener process
Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Stability and convergence of numerical methods for ordinary differential equations (65L20)
- Stability of the Heun methods for solving stochastic differential equations
- Exponential mean-square stability properties of stochastic linear multistep methods
- scientific article; zbMATH DE number 774614
- Multistep methods for SDEs and their application to problems with small noise
- scientific article; zbMATH DE number 956579
- Exponential mean-square stability properties of stochastic linear multistep methods
- The linear Steklov method for SDEs with non-globally Lipschitz coefficients: strong convergence and simulation
- Convergence and asymptotic stability of the explicit Steklov method for stochastic differential equations
- Stability of the Heun methods for solving stochastic differential equations
- Characterization of bistability for stochastic multistep methods
- Improved linear multi-step methods for stochastic ordinary differential equations
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