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A -stability of Runge-Kutta methods for systems with additive noise by Diego Bricio Hernandez; Renato Spigler is a nonfiction available to read on EtoBox.
What is A -stability of Runge-Kutta methods for systems with additive noise about?
Numerical stability of both explicit and implicit Runge-Kutta methods for solving ordinary differential equations with an additive noise term is studied. The concept of numerical stability of deterministic schemes is extended to the stochastic case, and a stochastic analogue of Dahlquist's A-stability is proposed. It is shown that the discretization of the drift term alone controls the A-stability of the whole scheme. The quantitative effect of implicitness upon A-stability is also investigated, and stability regions are given for a family of implicit Runge-Kutta methods with optimal order of convergence.
Who reads A -stability of Runge-Kutta methods for systems with additive noise?
It is typically read by self-directed learners exploring a subject in depth.
Common subject areas: history, science, philosophy, social sciences.
- Author
- Diego Bricio Hernandez; Renato Spigler
- Publisher
- Springer Netherlands; Springer-Verlag; Springer Science and Business Media LLC (ISSN 0006-3835)
- Published
- 1992
- Language
- EN
- Category
- nonfiction
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