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Aufsatz / Paper in SCI-Expanded-Zeitschrift

Non-normal drift structures and linear stability analysis of numerical methods for systems of stochastic differential equations

Buckwar E., Kelly C.: Non-normal drift structures and linear stability analysis of numerical methods for systems of stochastic differential equations, in: Computers & Mathematics with Applications, 2012.

BibTeX

@ARTICLE{
title = {Non-normal drift structures and linear stability analysis of numerical methods for systems of stochastic differential equations},
type = {Aufsatz / Paper in SCI-Expanded-Zeitschrift},
author = {Buckwar, Evelyn and Kelly, Cónall},
language = {EN},
abstract = {We investigate mean-square asymptotic stability of equilibria in linear systems of stochastic differential equations with non-normal drift coefficients, with particular emphasis on the role of interactions between the drift and diffusion structures that act along, orthogonally to, and laterally to the flow. Hence we construct test systems with non-normal drift coefficients and characteristic diffusion structures for the purposes of a linear stability analysis of the θ-Maruyama method. Next we discretise these test systems and examine the mean-square asymptotic stability of equilibria of the resulting systems of stochastic difference equations. Finally we indicate how this approach may help to shed light on numerical discretisations of stochastic partial differential equations with multiplicative space–time perturbations.},
publisher = {Elsevier B.V.},
journal = {Computers & Mathematics with Applications},
issn = {0898-1221},
month = {3},
year = {2012},
}

Details

Zusammenfassung: We investigate mean-square asymptotic stability of equilibria in linear systems of stochastic differential equations with non-normal drift coefficients, with particular emphasis on the role of interactions between the drift and diffusion structures that act along, orthogonally to, and laterally to the flow. Hence we construct test systems with non-normal drift coefficients and characteristic diffusion structures for the purposes of a linear stability analysis of the θ-Maruyama method. Next we discretise these test systems and examine the mean-square asymptotic stability of equilibria of the resulting systems of stochastic difference equations. Finally we indicate how this approach may help to shed light on numerical discretisations of stochastic partial differential equations with multiplicative space–time perturbations.

Journal: Computers & Mathematics with Applications
Erscheinungsjahr: 2012
Anzahl Seiten: 12
Verlag: Elsevier B.V.
ISSN: 0898-1221
Reichweite: International

Beteiligte

AutorInnen / HerausgeberInnen: Univ.-Prof. Dr. Evelyn Buckwar, Cónall Kelly

Forschungseinheiten der JKU:

Wissenschaftszweige: 1103 Analysis | 1113 Mathematische Statistik | 1114 Numerische Mathematik | 1118 Wahrscheinlichkeitstheorie | 1121 Operations Research | 1145 Zeitreihenanalyse | 1165 Stochastik | 5943 Risikoforschung

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