Found 20 Documents (Results 1–20)
Stability of the drift-implicit and double-implicit Milstein schemes for nonlinear SDEs. (English) Zbl 1429.65023
Diagonally drift-implicit Runge-Kutta methods of strong order one for stiff stochastic differential systems. (English) Zbl 1329.65014
MSC:
65C30
Multilevel Monte Carlo quadrature of discontinuous payoffs in the generalized Heston model using Malliavin integration by parts. (English) Zbl 1338.60168
Analysis of asymptotic mean-square stability of a class of Runge-Kutta schemes for linear systems of stochastic differential equations. (English) Zbl 1533.65018
Mean-square \(A\)-stable diagonally drift-implicit integrators of weak second order for stiff Itô stochastic differential equations. (English) Zbl 1367.65011
Strong order one convergence of a drift implicit Euler scheme: application to the CIR process. (English) Zbl 1273.65007
Reviewer: Kevin Burrage (Brisbane)
Mean-square convergence of drift-implicit one-step methods for neutral stochastic delay differential equations with jump diffusion. (English) Zbl 1235.60085
Convergence and stability of the semi-implicit Euler method with variable stepsize for a linear stochastic pantograph differential equation. (English) Zbl 1214.65003
Reviewer: Henri Schurz (Carbondale)
Convergence analysis of a splitting method for stochastic differential equations. (English) Zbl 1163.65004
Reviewer: Melvin D. Lax (Long Beach)
Synchronization of dissipative systems with additive and linear noise. (English) Zbl 1158.65302
Tammer, Christiane (ed.) et al., Festschrift in celebration of Prof. Dr. Wilfried Grecksch’s 60th birthday. Aachen: Shaker Verlag (ISBN 978-3-8322-7500-6/pbk). Berichte aus der Mathematik, 25-47 (2008).
Mean square convergence of one-step methods for neutral stochastic differential delay equations. (English) Zbl 1155.65010
Reviewer: Henri Schurz (Carbondale)
Optimal pointwise approximation of a linear stochastic heat equation with additive space-time white noise. (English) Zbl 1141.65324
Keller, Alexander (ed.) et al., Monte Carlo and quasi-Monte Carlo methods 2006. Selected papers based on the presentations at the 7th international conference ‘Monte Carlo and quasi-Monte Carlo methods in scientific computing’, Ulm, Germany, August 14–18, 2006. Berlin: Springer (ISBN 978-3-540-74495-5/hbk). 577-589 (2008).
Existence and uniqueness of the solutions and convergence of semi-implicit Euler methods for stochastic pantograph equations. (English) Zbl 1107.60030
Reviewer: Henri Schurz (Carbondale)
One-step approximations for stochastic functional differential equations. (English) Zbl 1105.65005
Reviewer: Grigori N. Milstein (Ekaterinburg)
Dissipation of mean energy of discretized linear oscillators under random perturbations. (English) Zbl 1144.65300
On global asymptotic stability of solutions of some in-arithmetic-mean-sense monotone stochastic difference equations in \(\mathbb{R}^1\). (English) Zbl 1078.65006
Reviewer: Melvin D. Lax (Long Beach)
Almost sure asymptotic stability of drift-implicit \(\theta\)-methods for bilinear ordinary stochastic differential equations in \(\mathbb R^1\). (English) Zbl 1073.65009
Reviewer: Melvin D. Lax (Long Beach)
Stochastic DAEs in circuit simulation. (English) Zbl 1045.65008
Antreich, K. (ed.) et al., Modeling, simulation, and optimization of integrated circuits. Proceedings of a conference, Oberwolfach, Germany, November 25–December 1, 2001. Basel: Birkhäuser (ISBN 3-7643-2192-X/hbk). ISNM, Int. Ser. Numer. Math. 146, 303-318 (2003).
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