Exponential mean square stability of numerical methods for systems of stochastic differential equations (Q433947): Difference between revisions
From MaRDI portal
Latest revision as of 11:18, 5 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Exponential mean square stability of numerical methods for systems of stochastic differential equations |
scientific article |
Statements
Exponential mean square stability of numerical methods for systems of stochastic differential equations (English)
0 references
9 July 2012
0 references
A theorem is proved that establishes numerical exponential mean square stability (NEMSS) of the classic theta method and the split-step theta method for systems of linear Itô stochastic differential equations (SDEs) that are exponentially mean square stable. Then theorems are proved giving conditions that imply that split-step theta methods for nonlinear systems of SDEs have NEMSS and conditions that imply that they do not. The paper concludes with extension of these results to systems of SDEs with Poisson-driven jumps.
0 references
mean square stability
0 references
exponential stability
0 references
theta method
0 references
Poisson process
0 references
systems of linear Itô stochastic differential equations
0 references
0 references
0 references
0 references
0 references
0 references
0 references
