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Mean-square stabili...
Mean-square stability analysis of approximations of stochastic differential equations in infinite dimensions
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- Lang, Annika, 1980 (författare)
- Gothenburg University,Göteborgs universitet,Institutionen för matematiska vetenskaper,Department of Mathematical Sciences
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- Petersson, Andreas, 1990 (författare)
- Gothenburg University,Göteborgs universitet,Institutionen för matematiska vetenskaper,Department of Mathematical Sciences
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Thalhammer, Andreas (författare)
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(creator_code:org_t)
- 2017
- Engelska.
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Ingår i: ArXiv.
- Relaterad länk:
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https://gup.ub.gu.se...
Abstract
Ämnesord
Stäng
- The (asymptotic) behaviour of the second moment of solutions to stochastic differential equations is treated in mean-square stability analysis. The purpose of this article is to discuss this property for approximations of infinite-dimensional stochastic differential equations and give necessary and sufficient conditions that ensure mean-square stability of the considered finite-dimensional approximations. Stability properties of typical discretization schemes such as combinations of spectral Galerkin, finite element, Euler-Maruyama, Milstein, Crank-Nicolson, and forward and backward Euler methods are characterized. Furthermore, results on their relationship to stability properties of the analytical solutions are provided. Simulations of the stochastic heat equation confirm the theory.
Ämnesord
- NATURVETENSKAP -- Matematik -- Beräkningsmatematik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Computational Mathematics (hsv//eng)
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Publikations- och innehållstyp
- vet (ämneskategori)
- ovr (ämneskategori)