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:	en
Published:	IOP Publishing 2017
Subjects:	QA Mathematics
Online Access:	http://umpir.ump.edu.my/id/eprint/18649/1/IOP%20Adam.pdf http://umpir.ump.edu.my/id/eprint/18649/ http://dx.doi.org/10.1088/1742-6596/890/1/012084
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