Title of article
Linear mean-square stability analysis of weak order 2.0 semi-implicit Taylor schemes for scalar stochastic differential equations
Author/Authors
Tocino، نويسنده , , A. and Zeghdane، نويسنده , , R. and Abbaoui، نويسنده , , L.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2013
Pages
12
From page
19
To page
30
Abstract
As in the deterministic case, the introduction of implicitness in stochastic schemes improves the stability behavior. In this paper a complete study for the linear MS-stability of the two-parameter family of semi-implicit weak order 2.0 Taylor schemes for scalar stochastic differential equations is given. Figures of the MS-stability regions and numerical examples that confirm the theoretical results are shown.
Keywords
Mean-square stability , Stochastic Taylor scheme , Stiff stochastic differential equations , numerical schemes , Weak approximations , Semi-implicit schemes
Journal title
Applied Numerical Mathematics
Serial Year
2013
Journal title
Applied Numerical Mathematics
Record number
1529789
Link To Document