Asymptotic Mean-Square Stability of Two-Step Methods for Stochastic Ordinary Differential Equations

Author:

Buckwar E.,Horváth-Bokor R.,Winkler R.

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Computational Mathematics,Computer Networks and Communications,Software

Reference24 articles.

1. L. Arnold, Stochastic Differential Equations: Theory and Applications, Wiley-Interscience, New York, 1974.

2. C. T. H. Baker and E. Buckwar, Exponential stability in p-th mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations, J. Comput. Appl. Math., 184 (2005), pp. 404–427.

3. R. Horváth Bokor, On two-step methods for stochastic differential equations, Acta Cybern., 13 (1997), pp. 197–207.

4. R. Horváth Bokor, On stability of two-step methods for stochastic differential equations, in: Proceedings of the 7th International Conference on Operational Research – KOI ’98, I. Aganovic et al. (eds.), pp. 267–279, Croatian Operational Research Society, Osijek, 1998.

5. R. Horváth Bokor, Convergence and Stability Properties for Numerical Approximations of Stochastic Ordinary Differential Equations, Phd thesis, University of Zagreb, Department of Mathematics, 2000.

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