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Stability analysis of first order S-ROCK methods for stochastic differential equations with delays in the deterministic part. / Еремин, Алексей Сергеевич.

International conference of numerical analysis and applied mathematics: ICNAAM2022. American Institute of Physics, 2024. 220006 (AIP Conference Proceedings; Vol. 3094).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

Harvard

Еремин, АС 2024, Stability analysis of first order S-ROCK methods for stochastic differential equations with delays in the deterministic part. in International conference of numerical analysis and applied mathematics: ICNAAM2022., 220006, AIP Conference Proceedings, vol. 3094, American Institute of Physics, International conference of numerical analysis and applied mathematics: ICNAAM2022, Heraklion, Greece, 19/09/22. https://doi.org/10.1063/5.0210681

APA

Еремин, А. С. (2024). Stability analysis of first order S-ROCK methods for stochastic differential equations with delays in the deterministic part. In International conference of numerical analysis and applied mathematics: ICNAAM2022 [220006] (AIP Conference Proceedings; Vol. 3094). American Institute of Physics. https://doi.org/10.1063/5.0210681

Vancouver

Еремин АС. Stability analysis of first order S-ROCK methods for stochastic differential equations with delays in the deterministic part. In International conference of numerical analysis and applied mathematics: ICNAAM2022. American Institute of Physics. 2024. 220006. (AIP Conference Proceedings). https://doi.org/10.1063/5.0210681

Author

Еремин, Алексей Сергеевич. / Stability analysis of first order S-ROCK methods for stochastic differential equations with delays in the deterministic part. International conference of numerical analysis and applied mathematics: ICNAAM2022. American Institute of Physics, 2024. (AIP Conference Proceedings).

BibTeX

@inproceedings{7c90427d654d44cf9d754607092310b7,
title = "Stability analysis of first order S-ROCK methods for stochastic differential equations with delays in the deterministic part",
abstract = "An attempt to study the stability of first order S-ROCK methods applied to a stochastic differential equation with a delay in the deterministic part. The previous results for stochastic differential equations and delay differential equations are possible to be generalized since the splitting technique used in S-ROCKs for the stochastic part. Thus mean square stability notion is combined with P-stability for delay equations. Some choice of “optimal” damping coefficient of S-ROCKs is done.",
author = "Еремин, {Алексей Сергеевич}",
year = "2024",
month = jun,
day = "7",
doi = "10.1063/5.0210681",
language = "English",
isbn = "9780735449541",
series = "AIP Conference Proceedings",
publisher = "American Institute of Physics",
booktitle = "International conference of numerical analysis and applied mathematics: ICNAAM2022",
address = "United States",
note = "null ; Conference date: 19-09-2022 Through 25-09-2022",
url = "https://history.icnaam.org/icnaam_2022/ICNAAM%202022/icnaam.org/index.html",

}

RIS

TY - GEN

T1 - Stability analysis of first order S-ROCK methods for stochastic differential equations with delays in the deterministic part

AU - Еремин, Алексей Сергеевич

PY - 2024/6/7

Y1 - 2024/6/7

N2 - An attempt to study the stability of first order S-ROCK methods applied to a stochastic differential equation with a delay in the deterministic part. The previous results for stochastic differential equations and delay differential equations are possible to be generalized since the splitting technique used in S-ROCKs for the stochastic part. Thus mean square stability notion is combined with P-stability for delay equations. Some choice of “optimal” damping coefficient of S-ROCKs is done.

AB - An attempt to study the stability of first order S-ROCK methods applied to a stochastic differential equation with a delay in the deterministic part. The previous results for stochastic differential equations and delay differential equations are possible to be generalized since the splitting technique used in S-ROCKs for the stochastic part. Thus mean square stability notion is combined with P-stability for delay equations. Some choice of “optimal” damping coefficient of S-ROCKs is done.

UR - https://www.mendeley.com/catalogue/4e93b6af-bba3-35a5-abd7-144cd2ff94d2/

U2 - 10.1063/5.0210681

DO - 10.1063/5.0210681

M3 - Conference contribution

SN - 9780735449541

T3 - AIP Conference Proceedings

BT - International conference of numerical analysis and applied mathematics: ICNAAM2022

PB - American Institute of Physics

Y2 - 19 September 2022 through 25 September 2022

ER -

ID: 127560509