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)
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DOI/Official URL: http://dx.doi.org/10.1088/1742-6596/890/1/012084
Abstract
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.
| Item Type: | Article |
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| Uncontrolled Keywords: | explicit; implicit; stochastic Runge-Kutta methods; differential equations |
| Subjects: | Q Science > QA Mathematics |
| Faculty/Division: | Faculty of Industrial Sciences And Technology |
| Depositing User: | Dr. Norhayati Rosli |
| Date Deposited: | 31 Oct 2017 01:46 |
| Last Modified: | 19 Jul 2018 00:24 |
| URI: | http://umpir.ump.edu.my/id/eprint/18649 |
| Download Statistic: | View Download Statistics |
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