Mean-Square Stability of Stochastic Linear Two-step methods for SDEs

Activity: Talk or presentation › Invited talk › unknown

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 stability behaviour of the approximations, and that can be analysed by deterministic methods. We also provide stability plots.
Period18 Sept 2013
Event titleSciCADE 2013, MS22 - Numerical solution of stochastic differential equations
Event typeConference
LocationSpainShow on map

Fields of science

  • 101002 Analysis
  • 101024 Probability theory
  • 101019 Stochastics
  • 101014 Numerical mathematics

JKU Focus areas

  • Computation in Informatics and Mathematics
  • Engineering and Natural Sciences (in general)

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