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Stability analysis of explicit and semi-implicit derivative-free methods for stochastic differential equations

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

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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
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