Stability analysis of second-order weak schemes for multi-dimensional stochastic differential systems

Stability analysis of second-order weak schemes for multi-dimensional stochastic differential systems

Under the infinite logarithmic matrix norm, a criterion for mean square stability of second-order weak numerical methods for multi-dimensional stochastic differential systems is established. Numerical examples are demonstrated to support the theoretical results.

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Veröffentlicht in:Journal of the Franklin Institute 2011-09, Vol.348 (7), p.1245-1257
1. Verfasser: Abukhaled, Marwan I.
Format: Artikel
Sprache:eng
Schlagworte:
Criteria
Exact sciences and technology
Mathematical models
Mathematics
Mean square stability
Mean square values
Norms
Numerical analysis
Probability and statistics
Probability theory and stochastic processes
Sciences and techniques of general use
Stability
Stability analysis
Stochastic differential equations
Stochastic processes
Stochasticity
Weak convergence
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Beschreibung
Zusammenfassung:Under the infinite logarithmic matrix norm, a criterion for mean square stability of second-order weak numerical methods for multi-dimensional stochastic differential systems is established. Numerical examples are demonstrated to support the theoretical results.
ISSN:0016-0032
1879-2693
DOI:10.1016/j.jfranklin.2010.01.011