Stability analysis of explicit and semi-implicit derivative-free methods for stochastic differential equations
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...
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| Format: | Article |
| Language: | English |
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UTM Press
2016
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| Online Access: | http://umpir.ump.edu.my/id/eprint/20731/ http://umpir.ump.edu.my/id/eprint/20731/1/Stability%20analysis%20of%20explicit%20and%20semi-implicit%20derivative-free.pdf |
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| author | Norhayati, Rosli Noor Amalina Nisa, Ariffin |
| author_facet | Norhayati, Rosli Noor Amalina Nisa, Ariffin |
| author_sort | Norhayati, Rosli |
| building | UMP Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-15T02:21:16Z |
| format | Article |
| id | ump-20731 |
| institution | Universiti Malaysia Pahang |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T02:21:16Z |
| publishDate | 2016 |
| publisher | UTM Press |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | ump-207312018-08-06T04:44:19Z http://umpir.ump.edu.my/id/eprint/20731/ Stability analysis of explicit and semi-implicit derivative-free methods for stochastic differential equations Norhayati, Rosli Noor Amalina Nisa, Ariffin QA Mathematics 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. UTM Press 2016 Article PeerReviewed pdf en http://umpir.ump.edu.my/id/eprint/20731/1/Stability%20analysis%20of%20explicit%20and%20semi-implicit%20derivative-free.pdf 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) http://www.utm.my/ispc2016/ispc2016-proceedings-book/ |
| spellingShingle | QA Mathematics Norhayati, Rosli Noor Amalina Nisa, Ariffin Stability analysis of explicit and semi-implicit derivative-free methods for stochastic differential equations |
| title | Stability analysis of explicit and semi-implicit derivative-free methods for stochastic differential equations |
| title_full | Stability analysis of explicit and semi-implicit derivative-free methods for stochastic differential equations |
| title_fullStr | Stability analysis of explicit and semi-implicit derivative-free methods for stochastic differential equations |
| title_full_unstemmed | Stability analysis of explicit and semi-implicit derivative-free methods for stochastic differential equations |
| title_short | Stability analysis of explicit and semi-implicit derivative-free methods for stochastic differential equations |
| title_sort | stability analysis of explicit and semi-implicit derivative-free methods for stochastic differential equations |
| topic | QA Mathematics |
| url | http://umpir.ump.edu.my/id/eprint/20731/ http://umpir.ump.edu.my/id/eprint/20731/ http://umpir.ump.edu.my/id/eprint/20731/1/Stability%20analysis%20of%20explicit%20and%20semi-implicit%20derivative-free.pdf |