Mean-square stability of stochastic linear two-step methods for SDEs

Description

In this talk we present a linear stability analysis of two-step Maruyama-type methods, for simplicity of notation applied to a scalar stochastic differential equation (SDE), although the analysis also works for a system of SDEs. The main issue is that we obtain a stability matrix, which reflects the asymptotic mean-square sta- bility behaviour of the approximations, and that can be analysed by deterministic methods. We also provide stability plots. This is joint work with Thorsten Sickenberger

Period	01 Nov 2013
Event title	Sixth Workshop on Random Dynamical Systems
Event type	Conference
Location	GermanyShow on map