Stability analysis of explicit and semi-implicit derivative-free methods for stochastic differential equations
This paper is devoted to investigate the mean-square stability of explicit and semi-implicit derivative-free methods to a class of stochastic differential equations (SDEs). The mean-square stability functions and regions of explicit and semi-implicit numerical approximation schemes are obtained for...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
UTM Press
2016
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| Subjects: | |
| Online Access: | http://umpir.ump.edu.my/id/eprint/20731/1/Stability%20analysis%20of%20explicit%20and%20semi-implicit%20derivative-free.pdf http://umpir.ump.edu.my/id/eprint/20731/ http://www.utm.my/ispc2016/ispc2016-proceedings-book/ |
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| Institution: | Universiti Malaysia Pahang |
| Language: | English |
| Summary: | This paper is devoted to investigate the mean-square stability of explicit and semi-implicit derivative-free methods to a class of stochastic differential equations (SDEs). The mean-square stability functions and regions of explicit and semi-implicit numerical approximation schemes are obtained for a linear stochastic differential equation with multiplicative noise. It is proved that the semi-implicit derivative-free method is mean-square stable compare than the explicit counterpart schemes. A numerical experiment is provided to illustrate the theory. |
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