Stability Analysis of Numerical Schemes for Stochastic Differential Equations

SIAM Journal on Numerical Analysis ◽

10.1137/s0036142992228409 ◽

1996 ◽

Vol 33 (6) ◽

pp. 2254-2267 ◽

Author(s):

Yoshihiro Saito ◽

Taketomo Mitsui

Keyword(s):

Stability Analysis ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Numerical Schemes

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Weak local linear discretizations for stochastic differential equations: Convergence and numerical schemes

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2005.11.032 ◽

2006 ◽

Vol 197 (2) ◽

pp. 578-596 ◽

Author(s):

F. Carbonell ◽

J.C. Jimenez ◽

R.J. Biscay

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Numerical Schemes ◽

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Weak first- and second-order numerical schemes for stochastic differential equations appearing in Lagrangian two-phase flow modeling

Monte Carlo Methods and Applications ◽

10.1515/156939603322663312 ◽

2003 ◽

Vol 9 (2) ◽

Author(s):

Jean-Pierre Minier ◽

Eric Peirano ◽

Sergio Chibbaro

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Two Phase Flow ◽

Second Order ◽

Flow Modeling ◽

Numerical Schemes ◽

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Long-Term Stability Analysis of Power Systems With Wind Power Based on Stochastic Differential Equations: Model Development and Foundations

IEEE Transactions on Sustainable Energy ◽

10.1109/tste.2015.2454333 ◽

2015 ◽

Vol 6 (4) ◽

pp. 1534-1542 ◽

Author(s):

Xiaozhe Wang ◽

Hsiao-Dong Chiang ◽

Jianhui Wang ◽

Hui Liu ◽

Tao Wang

Keyword(s):

Stability Analysis ◽

Differential Equations ◽

Power Systems ◽

Stochastic Differential Equations ◽

Model Development ◽

Term Stability ◽

Long Term Stability

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Stability Analysis of 4-Stage Stochastic Runge-Kutta Method (SRK4) and Specific Stochastic Runge-Kutta Method (SRKS1.5) for Stochastic Differential Equations

Proceedings of the Third International Conference on Computing, Mathematics and Statistics (iCMS2017) ◽

10.1007/978-981-13-7279-7_23 ◽

2019 ◽

pp. 187-194

Author(s):

Noor Amalina Nisa Ariffin ◽

Norhayati Rosli ◽

Abdul Rahman Mohd Kasim

Keyword(s):

Stability Analysis ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Kutta Method ◽

Runge Kutta Method ◽

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Stability analysis of Markov switched stochastic differential equations with both stable and unstable subsystems

Systems & Control Letters ◽

10.1016/j.sysconle.2017.05.002 ◽

2017 ◽

Vol 105 ◽

pp. 55-61 ◽

Author(s):

Bao Wang ◽

Quanxin Zhu

Keyword(s):

Stability Analysis ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Unstable Subsystems

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Towards a Systematic Linear Stability Analysis of Numerical Methods for Systems of Stochastic Differential Equations

SIAM Journal on Numerical Analysis ◽

10.1137/090771843 ◽

2010 ◽

Vol 48 (1) ◽

pp. 298-321 ◽

Author(s):

Evelyn Buckwar ◽

Cónall Kelly

Keyword(s):

Stability Analysis ◽

Numerical Methods ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Linear Stability ◽

Linear Stability Analysis

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Linear mean-square stability analysis of weak order 2.0 semi-implicit Taylor schemes for scalar stochastic differential equations

Applied Numerical Mathematics ◽

10.1016/j.apnum.2013.01.004 ◽

2013 ◽

Vol 68 ◽

pp. 19-30 ◽

Author(s):

A. Tocino ◽

R. Zeghdane ◽

L. Abbaoui

Keyword(s):

Stability Analysis ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Mean Square ◽

Mean Square Stability

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Particles systems and numerical schemes for mean reflected stochastic differential equations

The Annals of Applied Probability ◽

10.1214/19-aap1546 ◽

2020 ◽

Vol 30 (4) ◽

pp. 1884-1909 ◽

Author(s):

Philippe Briand ◽

Paul-Éric Chaudru de Raynal ◽

Arnaud Guillin ◽

Céline Labart

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Numerical Schemes

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Strong convergence and asymptotic stability of explicit numerical schemes for nonlinear stochastic differential equations

Mathematics of Computation ◽

10.1090/mcom/3661 ◽

2021 ◽

pp. 1

Author(s):

Xiaoyue Li ◽

Xuerong Mao ◽

Hongfu Yang

Keyword(s):

Asymptotic Stability ◽

Differential Equations ◽

Strong Convergence ◽

Stochastic Differential Equations ◽

Numerical Schemes ◽

Nonlinear Stochastic Differential Equations

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Expansion of the global error for numerical schemes solving stochastic differential equations

Stochastic Analysis and Applications ◽

10.1080/07362999008809220 ◽

1990 ◽

Vol 8 (4) ◽

pp. 483-509 ◽

Author(s):

Denis Talay ◽

Luciano Tubaro

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Global Error ◽

Numerical Schemes

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