Mean-square stability properties of an adaptive time-stepping SDE solver
نویسندگان
چکیده
منابع مشابه
Mean-square stability properties of an adaptive time-stepping SDE solver
We consider stability properties of a class of adaptive time-stepping schemes based upon the Milstein method for stochastic differential equations with a single scalar forcing. In particular we focus upon mean-square stability for a class of linear test problems with multiplicative noise. We demonstrate that highly desirable stability properties can be induced in the numerical solution by the u...
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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...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2006
ISSN: 0377-0427
DOI: 10.1016/j.cam.2005.07.007