SciCADE 2013
International Conference on Scientific Computation and Differential Equations
September 16-20, 2013, Valladolid (Spain)

Invited Talk

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Mean-Square Stability of Stochastic Linear Two-step methods for SDEs

E. Buckwar and T. Sickenberger

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 stability behaviour of the approximations, and that can be analysed by deterministic methods. We also provide stability plots.

Organized by         Universidad de Valladolid     IMUVA