Stability of θ-Heun Method for Stochastic Differential Equations

Journal Title: 河南科技大学学报(自然科学版) - Year 2018, Vol 39, Issue 4

Abstract

In order to improve the stability of the numerical method for solving stochastic differential equation, the θ-Heun method was obtained by improving the Heun method. For a stochastic differential equation with multiplicative noise, the sufficient and necessary conditions of the mean square stability and the exponential stability for the θ-Heun method were obtained. The two stability of the θ-Heun method were proved to be equivalent. Finallly, it is proved that the stability of the θ-Heun method was better than that of Heun method by numerical example.

Authors and Affiliations

Rui LI, Yindi ZHANG, Fenjin LIU

Keywords

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  • EP ID EP468198
  • DOI -
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How To Cite

Rui LI, Yindi ZHANG, Fenjin LIU (2018). Stability of θ-Heun Method for Stochastic Differential Equations. 河南科技大学学报(自然科学版), 39(4), -. https://europub.co.uk./articles/-A-468198