A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods
نویسندگان
چکیده
منابع مشابه
On exponential mean-square stability of two-step Maruyama methods for stochastic delay differential equations
We are concerned with the exponential mean-square stability of two-step Maruyama methods for stochastic differential equations with time delay. We propose a family of schemes and prove that it can maintain the exponential mean-square stability of the linear stochastic delay differential equation for every step size of integral fraction of the delay in the equation. Numerical results for linear ...
متن کاملa comparative pragmatic analysis of the speech act of “disagreement” across english and persian
the speech act of disagreement has been one of the speech acts that has received the least attention in the field of pragmatics. this study investigates the ways power relations, social distance, formality of the context, gender, and language proficiency (for efl learners) influence disagreement and politeness strategies. the participants of the study were 200 male and female native persian s...
15 صفحه اولa comparative analysis of the marginal microleakages of two pit and fissure sealans, conseal-f and conseal clear
چکیده ندارد.
15 صفحه اولA-stability and Stochastic Mean-square Stability∗
This note extends and interprets a result of Saito and Mitsui [SIAM J. Numer. Anal., 33 (1996), pp. 2254–2267] for a method of Milstein. The result concerns mean-square stability on a stochastic differential equation test problem with multiplicative noise. The numerical method reduces to the Theta Method on deterministic problems. Saito and Mitsui showed that the deterministic A-stability prope...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Mathematics and Computers in Simulation
سال: 2011
ISSN: 0378-4754
DOI: 10.1016/j.matcom.2010.09.015