Stability Analysis of Explicit and Implicit Stochastic Runge-Kutta Methods for Stochastic Differential Equations
This paper concerns to the stability analysis of explicit and implicit stochastic Runge-Kutta methods in approximating the solution of stochastic models. The stability analysis of the schemes in mean-square norm is investigated. Linear stochastic differential equations are used as test equations to...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
IOP Publishing
2017
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| Subjects: | |
| Online Access: | http://umpir.ump.edu.my/id/eprint/18649/1/IOP%20Adam.pdf http://umpir.ump.edu.my/id/eprint/18649/ http://dx.doi.org/10.1088/1742-6596/890/1/012084 |
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| Institution: | Universiti Malaysia Pahang |
| Language: | English |
| Summary: | This paper concerns to the stability analysis of explicit and implicit stochastic Runge-Kutta methods in approximating the solution of stochastic models. The stability analysis of the schemes in mean-square norm is investigated. Linear stochastic differential equations are used as test equations to demonstrate the efficiency of the proposed schemes. |
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