Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4645270 | Applied Numerical Mathematics | 2013 | 12 Pages |
Abstract
As in the deterministic case, the introduction of implicitness in stochastic schemes improves the stability behavior. In this paper a complete study for the linear MS-stability of the two-parameter family of semi-implicit weak order 2.0 Taylor schemes for scalar stochastic differential equations is given. Figures of the MS-stability regions and numerical examples that confirm the theoretical results are shown.
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