Mean-square stability of stochastic linear two-step methods for SDEs
Sprache des Vortragstitels:
Englisch
Original Tagungtitel:
Sixth Workshop on Random Dynamical Systems
Sprache des Tagungstitel:
Englisch
Original Kurzfassung:
In this talk we present a linear stability analysis of two-step Maruyama-type methods, for simplicity of notation applied to a scalar stochastic differential equation (SDE), although the analysis also works for a system of SDEs. The main issue is that we obtain a stability matrix, which reflects the asymptotic mean-square sta-
bility behaviour of the approximations, and that can be analysed by deterministic methods. We also provide stability plots.
This is joint work with Thorsten Sickenberger
Sprache der Kurzfassung:
Englisch
Vortragstyp:
Hauptvortrag / Eingeladener Vortrag auf einer Tagung
Forschungs-