Mean-square and Asymptotic Stability of the Stochastic Heun Method

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  • Saito Yoshihiro
    Faculty of Economics and Information, Gifu Shotoku Gakuen University

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  • 確率ホイン法の平均二乗安定性と漸近安定性
  • カクリツ ホインホウ ノ ヘイキン 2ジョウ アンテイセイ ト ゼンキン アンテイセイ

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The stochastic Heun method is an explicit numerical method for stochastic differential equations. We consider a scalar linear test equation with multiplicative noise for Stratonovich equation, and present mean-square and asymptotic stability analysis of numerical methods for the test equation. Stochastic Heun and Milstein methods are studied, and some results are given.

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