On the MS-stability of predictor–corrector schemes for stochastic differential equations
نویسندگان
چکیده
Abstract Predictor–corrector schemes are designed to be a compromise retain the stability properties of implicit and computational efficiency explicit ones. In this paper complete analytical study for linear mean-square two-parameter family Euler predictor–corrector scalar stochastic differential equations is given. The analyzed given in terms two parameters that control degree implicitness method. For each selection region obtained, letting its comparison. Particular cases counter-intuitive fact losing numerical by reducing step size, confirmed proved. Figures MS-stability regions examples confirm theoretical results shown.
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ژورنال
عنوان ژورنال: Mathematics and Computers in Simulation
سال: 2021
ISSN: ['0378-4754', '1872-7166']
DOI: https://doi.org/10.1016/j.matcom.2020.09.004