TOWARDS A SYSTEMATIC LINEAR STABILITY ANALYSIS OF NUMERICAL METHODS FOR SYSTEMS OF STOCHASTIC DIFFERENTIAL EQUATIONS

We develop two classes of test equations for the linear stability analysis of numerical methods applied to systems of stochastic ordinary differential equations of Ito type (SODEs). Motivated by the theory of stochastic stabilization and destabilization, these test equations capture certain fundamen...

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Bibliographic Details
Published in:	SIAM journal on numerical analysis Vol. 48; no. 1; pp. 298 - 321
Main Authors:	BUCKWAR, EVELYN, KELLY, CÓNALL
Format:	Journal Article
Language:	English
Published:	Philadelphia Society for Industrial and Applied Mathematics 01.01.2010
Subjects:	Asymptotic properties Coefficients Differential equations Diffusion coefficient Discretization Linear systems Mathematical analysis Numerical analysis Numerical methods Ordinary differential equations Perturbation methods Scalars Stability analysis Stabilization Stochastic models Stochasticity Studies Sufficient conditions Test systems Test theory
ISSN:	0036-1429, 1095-7170
Online Access:	Get full text
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