Expectation stability of second-order weak numerical methods for stochastic differential equations

Stochastic Analysis and Applications

Volumn 20, Issue 4, 2002, Pages 693-707

  Abukhaled, Marwan I ^a   Allen, Edward J ^a  

^a AMERICAN UNIVERSITY OF SHARJAH   (United Arab Emirates)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0036039513     PISSN: 07362994     EISSN: None     Source Type: Journal    
DOI: 10.1081/SAP-120006103     Document Type: Article

References (13)

1. A class of second-order Runge-Kutta methods for numerical solution of stochastic differential equations
2. Convergence and stability of implicit Runge-Kutta methods for systems with multiplicative noise
3. A survey of numerical methods for stochastic differential equations
4. Stable ROW-type weak scheme for stochastic differential equations
5. Weak approximation of solutions of systems of stochastic differential equations
6. Asymptotically efficient Runge-Kutta methods for a class of Ito and Stratonovich equations
7. A general implicit splitting for stabilizing numerical simulations of ito stochastic differential equations
8. Stability analysis of numerical schemes for stochastic differential equations
9. Efficient numerical schemes for the approximation of the expectations of functionals of the solution of a stochastic differential equation and applications
10. Simulation and numerical analysis of stochastic differential systems