Stability Analysis of Explicit and Implicit Stochastic
Runge-Kutta Methods for Stochastic Differential
Equations

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Stability Analysis of Explicit and Implicit Stochastic Runge-Kutta Methods for Stochastic Differential Equations

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...

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Bibliographic Details
Main Authors:	Adam, Samsudin, Norhayati, Rosli, Amalina Nisa, Ariffin
Format:	Article
Language:	English
Published:	IOP Publishing 2017
Subjects:	QA Mathematics
Online Access:	http://umpir.ump.edu.my/id/eprint/18649/ http://umpir.ump.edu.my/id/eprint/18649/1/IOP%20Adam.pdf

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