Stability Analysis of Explicit and Implicit Stochastic Runge-Kutta Methods for Stochastic Differential Equations
This paper concerns to the stability analysis of explicit and implicit stochastic Runge-Kutta methods in approximating the solution of stochastic models. The stability analysis of the schemes in mean-square norm is investigated. Linear stochastic differential equations are used as test equations to...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
IOP Publishing
2017
|
| Subjects: | |
| Online Access: | http://umpir.ump.edu.my/id/eprint/18649/1/IOP%20Adam.pdf |
| _version_ | 1796992305123557376 |
|---|---|
| author | Adam, Samsudin Norhayati, Rosli Amalina Nisa, Ariffin |
| author_facet | Adam, Samsudin Norhayati, Rosli Amalina Nisa, Ariffin |
| author_sort | Adam, Samsudin |
| collection | UMP |
| description | This paper concerns to the stability analysis of explicit and implicit stochastic Runge-Kutta methods in approximating the solution of stochastic models. The stability analysis of the schemes in mean-square norm is investigated. Linear stochastic differential equations are used as test equations to demonstrate the efficiency of the proposed schemes. |
| first_indexed | 2024-03-06T12:18:06Z |
| format | Article |
| id | UMPir18649 |
| institution | Universiti Malaysia Pahang |
| language | English |
| last_indexed | 2024-03-06T12:18:06Z |
| publishDate | 2017 |
| publisher | IOP Publishing |
| record_format | dspace |
| spelling | UMPir186492018-07-19T00:24:28Z http://umpir.ump.edu.my/id/eprint/18649/ Stability Analysis of Explicit and Implicit Stochastic Runge-Kutta Methods for Stochastic Differential Equations Adam, Samsudin Norhayati, Rosli Amalina Nisa, Ariffin QA Mathematics This paper concerns to the stability analysis of explicit and implicit stochastic Runge-Kutta methods in approximating the solution of stochastic models. The stability analysis of the schemes in mean-square norm is investigated. Linear stochastic differential equations are used as test equations to demonstrate the efficiency of the proposed schemes. IOP Publishing 2017 Article PeerReviewed application/pdf en cc_by http://umpir.ump.edu.my/id/eprint/18649/1/IOP%20Adam.pdf Adam, Samsudin and Norhayati, Rosli and Amalina Nisa, Ariffin (2017) Stability Analysis of Explicit and Implicit Stochastic Runge-Kutta Methods for Stochastic Differential Equations. Journal of Physics: Conference Series, 890 (012084). pp. 1-7. ISSN 1742-6596. (Published) http://dx.doi.org/10.1088/1742-6596/890/1/012084 doi :10.1088/1742-6596/890/1/012084 |
| spellingShingle | QA Mathematics Adam, Samsudin Norhayati, Rosli Amalina Nisa, Ariffin Stability Analysis of Explicit and Implicit Stochastic Runge-Kutta Methods for Stochastic Differential Equations |
| title | Stability Analysis of Explicit and Implicit Stochastic
Runge-Kutta Methods for Stochastic Differential
Equations
|
| title_full | Stability Analysis of Explicit and Implicit Stochastic
Runge-Kutta Methods for Stochastic Differential
Equations
|
| title_fullStr | Stability Analysis of Explicit and Implicit Stochastic
Runge-Kutta Methods for Stochastic Differential
Equations
|
| title_full_unstemmed | Stability Analysis of Explicit and Implicit Stochastic
Runge-Kutta Methods for Stochastic Differential
Equations
|
| title_short | Stability Analysis of Explicit and Implicit Stochastic
Runge-Kutta Methods for Stochastic Differential
Equations
|
| title_sort | stability analysis of explicit and implicit stochastic runge kutta methods for stochastic differential equations |
| topic | QA Mathematics |
| url | http://umpir.ump.edu.my/id/eprint/18649/1/IOP%20Adam.pdf |
| work_keys_str_mv | AT adamsamsudin stabilityanalysisofexplicitandimplicitstochasticrungekuttamethodsforstochasticdifferentialequations AT norhayatirosli stabilityanalysisofexplicitandimplicitstochasticrungekuttamethodsforstochasticdifferentialequations AT amalinanisaariffin stabilityanalysisofexplicitandimplicitstochasticrungekuttamethodsforstochasticdifferentialequations |