Asymptotical mean square stability of an equilibrium point of some linear numerical solutions with multiplicative noise (Q5687775): Difference between revisions

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scientific article; zbMATH DE number 958499

Language	Label	Description	Also known as
English	Asymptotical mean square stability of an equilibrium point of some linear numerical solutions with multiplicative noise	scientific article; zbMATH DE number 958499

Statements

instance of

scholarly article

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title

Asymptotical mean square stability of an equilibrium point of some linear numerical solutions with multiplicative noise (English)

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author

Henri Schurz

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published in

Stochastic Analysis and Applications

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publication date

16 December 1996

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zbMATH Keywords

stochastic differential equations

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numerical methods

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stability

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/07362999608809442

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cites work

Q4404205

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A Formula Connecting Sample and Moment Stability of Linear Stochastic Systems

0 references

Q4220267

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Q3689918

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Über das asymptotische Verhalten von Lösungen linearer stochastischer Differentialgleichungssysteme

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Zum asymptotischen Verhalten der Lösungen im quadratischen Mittel von linearen stochastischen Differentialgleichungssystemen

0 references

Q5654811

0 references

The stability of large random matrices and their products

0 references

A special stability problem for linear multistep methods

0 references

Computer simulations of multiplicative stochastic differential equations

0 references

Q4086524

0 references

Q3764976

0 references

Q3957726

0 references

Numerical integration of stochastic differential equations.

0 references

Numerical Integration of Stochastic Differential Equations

0 references

\(A\)-stability of Runge-Kutta methods for systems with additive noise

0 references

Convergence and stability of implicit Runge-Kutta methods for systems with multiplicative noise

0 references

Q3998760

0 references

Q3959169

0 references

On the stability of systems with random parameters

0 references

Q4132990

0 references

Numerical Integration of Multiplicative-Noise Stochastic Differential Equations

0 references

Higher-order implicit strong numerical schemes for stochastic differential equations

0 references

A survey of stability of stochastic systems

0 references

Stochastic stability and control

0 references

Exponential Families of Stochastic Processes: A Unifying Semimartingale Approach

0 references

Comparison theorem and error estimates of stochastic differential systems<sup>∗</sup>

0 references

Stability of stochastic discrete systems

0 references

Asymptotically Efficient Runge-Kutta Methods for a Class of Itô and Stratonovich Equations

0 references

Discretization and simulation of stochastic differential equations

0 references

Numerical Solution of Ito Integral Equations

0 references

Numerical Treatment of Stochastic Differential Equations

0 references

On the exponential stability and instability of linear stochastic systems

0 references

Q3482651

0 references

Random differential equations in science and engineering

0 references

Approximation of Upper Lyapunov Exponents of Bilinear Stochastic Differential Systems

0 references

Numerical solutions of linear stochastic differential equations

0 references

On the relation between ordinary and stochastic differential equations

0 references

Optimal Stationary Control of a Linear System with State-Dependent Noise

0 references

Identifiers

zbMATH Open document ID

0860.60040

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DOI

10.1080/07362999608809442

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

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+A Formula Connecting Sample and Moment Stability of Linear Stochastic Systems
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@@ Property / cites work @@
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+Normal rank
@@ Property / cites work @@
+Q3689918
@@ Property / cites work: Q3689918 / rank @@
+Normal rank
@@ Property / cites work @@
+Über das asymptotische Verhalten von Lösungen linearer stochastischer Differentialgleichungssysteme
+Normal rank
@@ Property / cites work @@
+Zum asymptotischen Verhalten der Lösungen im quadratischen Mittel von linearen stochastischen Differentialgleichungssystemen
+Normal rank
@@ Property / cites work @@
+Q5654811
@@ Property / cites work: Q5654811 / rank @@
+Normal rank
@@ Property / cites work @@
+The stability of large random matrices and their products
+Normal rank
@@ Property / cites work @@
+A special stability problem for linear multistep methods
+Normal rank
@@ Property / cites work @@
+Computer simulations of multiplicative stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Q4086524
@@ Property / cites work: Q4086524 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3764976
@@ Property / cites work: Q3764976 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3957726
@@ Property / cites work: Q3957726 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical integration of stochastic differential equations.
+Normal rank
@@ Property / cites work @@
+Numerical Integration of Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+\(A\)-stability of Runge-Kutta methods for systems with additive noise
+Normal rank
@@ Property / cites work @@
+Convergence and stability of implicit Runge-Kutta methods for systems with multiplicative noise
+Normal rank
@@ Property / cites work @@
+Q3998760
@@ Property / cites work: Q3998760 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3959169
@@ Property / cites work: Q3959169 / rank @@
+Normal rank
@@ Property / cites work @@
+On the stability of systems with random parameters
+Normal rank
@@ Property / cites work @@
+Q4132990
@@ Property / cites work: Q4132990 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical Integration of Multiplicative-Noise Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Higher-order implicit strong numerical schemes for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+A survey of stability of stochastic systems
@@ Property / cites work: A survey of stability of stochastic systems / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic stability and control
@@ Property / cites work: Stochastic stability and control / rank @@
+Normal rank
@@ Property / cites work @@
+Exponential Families of Stochastic Processes: A Unifying Semimartingale Approach
+Normal rank
@@ Property / cites work @@
+Comparison theorem and error estimates of stochastic differential systems<sup>∗</sup>
+Normal rank
@@ Property / cites work @@
+Stability of stochastic discrete systems
@@ Property / cites work: Stability of stochastic discrete systems / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotically Efficient Runge-Kutta Methods for a Class of Itô and Stratonovich Equations
+Normal rank
@@ Property / cites work @@
+Discretization and simulation of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Numerical Solution of Ito Integral Equations
@@ Property / cites work: Numerical Solution of Ito Integral Equations / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical Treatment of Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+On the exponential stability and instability of linear stochastic systems
+Normal rank
@@ Property / cites work @@
+Q3482651
@@ Property / cites work: Q3482651 / rank @@
+Normal rank
@@ Property / cites work @@
+Random differential equations in science and engineering
+Normal rank
@@ Property / cites work @@
+Approximation of Upper Lyapunov Exponents of Bilinear Stochastic Differential Systems
+Normal rank
@@ Property / cites work @@
+Numerical solutions of linear stochastic differential equations
+Normal rank
@@ Property / cites work @@
+On the relation between ordinary and stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Optimal Stationary Control of a Linear System with State-Dependent Noise
+Normal rank
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+Publication:5687775