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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