Norhayati, Rosli and Noor Amalina Nisa, Ariffin (2016) Stability analysis of explicit and semi-implicit derivative-free methods for stochastic differential equations. Proceeding of 4th International Science Postgraduate Conference. pp. 66-76. ISSN 978-967-0194-54-7. (Published)
|
Pdf
Stability analysis of explicit and semi-implicit derivative-free.pdf Download (2MB) | Preview |
Abstract
This paper is devoted to investigate the mean-square stability of explicit and semi-implicit derivative-free methods to a class of stochastic differential equations (SDEs). The mean-square stability functions and regions of explicit and semi-implicit numerical approximation schemes are obtained for a linear stochastic differential equation with multiplicative noise. It is proved that the semi-implicit derivative-free method is mean-square stable compare than the explicit counterpart schemes. A numerical experiment is provided to illustrate the theory.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | ean-square stability; stochastic differential equation; derivative-free method |
| Subjects: | Q Science > QA Mathematics |
| Faculty/Division: | Faculty of Industrial Sciences And Technology |
| Depositing User: | Dr. Norhayati Rosli |
| Date Deposited: | 06 Aug 2018 04:44 |
| Last Modified: | 06 Aug 2018 04:44 |
| URI: | http://umpir.ump.edu.my/id/eprint/20731 |
| Download Statistic: | View Download Statistics |
Actions (login required)
 |
View Item |