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...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
IOP Publishing
2017
|
| 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 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Universiti Malaysia Pahang |
| Language: | English |
| id |
my.ump.umpir.18649 |
|---|---|
| record_format |
eprints |
| spelling |
my.ump.umpir.186492018-07-19T00:24:28Z http://umpir.ump.edu.my/id/eprint/18649/ Stability Analysis of Explicit and Implicit Stochastic Runge-Kutta Methods for Stochastic Differential Equations Adam, Samsudin Norhayati, Rosli Amalina Nisa, Ariffin QA Mathematics 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. IOP Publishing 2017 Article PeerReviewed application/pdf en cc_by http://umpir.ump.edu.my/id/eprint/18649/1/IOP%20Adam.pdf Adam, Samsudin and Norhayati, Rosli and Amalina Nisa, Ariffin (2017) Stability Analysis of Explicit and Implicit Stochastic Runge-Kutta Methods for Stochastic Differential Equations. Journal of Physics: Conference Series, 890 (012084). pp. 1-7. ISSN 1742-6596 http://dx.doi.org/10.1088/1742-6596/890/1/012084 doi :10.1088/1742-6596/890/1/012084 |
| institution |
Universiti Malaysia Pahang |
| building |
UMP Library |
| collection |
Institutional Repository |
| continent |
Asia |
| country |
Malaysia |
| content_provider |
Universiti Malaysia Pahang |
| content_source |
UMP Institutional Repository |
| url_provider |
http://umpir.ump.edu.my/ |
| language |
English |
| topic |
QA Mathematics |
| spellingShingle |
QA Mathematics Adam, Samsudin Norhayati, Rosli Amalina Nisa, Ariffin Stability Analysis of Explicit and Implicit Stochastic Runge-Kutta Methods for Stochastic Differential Equations |
| description |
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. |
| format |
Article |
| author |
Adam, Samsudin Norhayati, Rosli Amalina Nisa, Ariffin |
| author_facet |
Adam, Samsudin Norhayati, Rosli Amalina Nisa, Ariffin |
| author_sort |
Adam, Samsudin |
| title |
Stability Analysis of Explicit and Implicit Stochastic
Runge-Kutta Methods for Stochastic Differential
Equations
|
| title_short |
Stability Analysis of Explicit and Implicit Stochastic
Runge-Kutta Methods for Stochastic Differential
Equations
|
| title_full |
Stability Analysis of Explicit and Implicit Stochastic
Runge-Kutta Methods for Stochastic Differential
Equations
|
| title_fullStr |
Stability Analysis of Explicit and Implicit Stochastic
Runge-Kutta Methods for Stochastic Differential
Equations
|
| title_full_unstemmed |
Stability Analysis of Explicit and Implicit Stochastic
Runge-Kutta Methods for Stochastic Differential
Equations
|
| title_sort |
stability analysis of explicit and implicit stochastic
runge-kutta methods for stochastic differential
equations |
| publisher |
IOP Publishing |
| publishDate |
2017 |
| url |
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 |
| _version_ |
1643668498983944192 |