Browsing Preprints aus dem Institut für Mathematik by Subject "mean-square asymptotic stability"

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2005-11-03Buch

Asymptotic mean-square stability of two-step methods for stochastic ordinary differential equations

Buckwar, Evelyn; Horváth-Bokor, Rosza; Winkler, Renate

We deal with linear multi-step methods for SDEs and study when the numerical appro\-xi\-mation shares asymptotic properties in the mean-square sense of the exact solution. As in deterministic numerical analysis we use a ...