Stability analysis of explicit and semi-implicit derivative-free methods for stochastic differential equations

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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Main Authors: Norhayati, Rosli, Noor Amalina Nisa, Ariffin
Format: Article
Language:English
Published: UTM Press 2016
Subjects:
QA Mathematics
Online Access: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
id ump-20731
recordtype eprints
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 http://www.utm.my/ispc2016/ispc2016-proceedings-book/
repository_type Digital Repository
institution_category Local University
institution Universiti Malaysia Pahang
building UMP Institutional Repository
collection Online Access
language English
topic QA Mathematics
spellingShingle QA Mathematics
Norhayati, Rosli
Noor Amalina Nisa, Ariffin
Stability analysis of explicit and semi-implicit derivative-free methods for stochastic differential equations
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.
format Article
author Norhayati, Rosli
Noor Amalina Nisa, Ariffin
author_facet Norhayati, Rosli
Noor Amalina Nisa, Ariffin
author_sort Norhayati, Rosli
title 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_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_sort stability analysis of explicit and semi-implicit derivative-free methods for stochastic differential equations
publisher UTM Press
publishDate 2016
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
first_indexed 2023-09-18T22:30:04Z
last_indexed 2023-09-18T22:30:04Z
_version_ 1777416226378612736

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