A comparative linear mean-square stability analysis of Maruyama
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In this article we compare the mean-square stability properties of the θ-Maruyama and θ-Milstein method that are used to solve stochastic differential ...
Dec 10, 2009 · In this article we compare the mean-square stability properties of the Theta-Maruyama and Theta-Milstein method that are used to solve stochastic differential ...
Jun 19, 2024 · AbstractIn this article we compare the mean-square stability properties of the θ-Maruyama and θ-Milstein method that are used to solve ...
A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods · E. Buckwar, Thorsten Sickenberger · Published in Mathematics and ...
In this article we compare the mean-square stability properties of the Theta-Maruyama and Theta-Milstein method that are used to solve stochastic ...
Bibliographic details on A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods.
Sep 10, 2020 · µ2∆t. 1 − θ∆tλ . Therefore, according to Definition 2.2, the θ-Milstein method (1.3) is mean-square stable if and only if.
Sickenberger, A comparative linear mean-square stability analysis of. Maruyama- and Milstein-type methods, Math. Comput. Simulation, 81 (2011), pp. 1110 ...
Jun 7, 2023 · Buckwar, E., Sickenberger, T.: A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods. Mathematics ...
We are concerned with a linear mean-square stability analysis of numerical methods applied to systems of stochastic differential equations (SDEs) and, ...