Preserving exponential mean square stability and decay rates in two classes of theta approximations of stochastic differential equations (Q5168660): Difference between revisions

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scientific article; zbMATH DE number 6318499

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English	Preserving exponential mean square stability and decay rates in two classes of theta approximations of stochastic differential equations	scientific article; zbMATH DE number 6318499

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instance of

scholarly article

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title

Preserving exponential mean square stability and decay rates in two classes of theta approximations of stochastic differential equations (English)

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Journal of Difference Equations and Applications

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publication date

18 July 2014

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zbMATH Keywords

stochastic differential delay equations

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stochastic ordinary differential equations

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exponential mean square stability

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exponential decay rate

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the split-step theta method

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stochastic theta method

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/10236198.2014.892934

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cites work

Numerical Analysis of Explicit One-Step Methods for Stochastic Delay Differential Equations

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Exponential stability in \(p\)-th mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations

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On the boundedness of asymptotic stability regions for the stochastic theta method

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Asymptotic mean-square stability of two-step methods for stochastic ordinary differential equations

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Numerical methods for strong solutions of stochastic differential equations: an overview

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Convergence and stability of the split-step \(\theta \)-method for stochastic differential equations

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Mean-Square and Asymptotic Stability of the Stochastic Theta Method

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Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations

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Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations

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Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations

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Exponential mean square stability of numerical methods for systems of stochastic differential equations

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Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation

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Q4369402

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Exponential stability of equidistant Euler-Maruyama approximations of stochastic differential delay equations

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Numerical solutions of stochastic differential delay equations under local Lipschitz condition

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Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients

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Delay-dependent exponential stability of the backward Euler method for nonlinear stochastic delay differential equations

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Stability Analysis of Numerical Schemes for Stochastic Differential Equations

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The improved split-step backward Euler method for stochastic differential delay equations

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Discrete Razumikhin-type technique and stability of the Euler-Maruyama method to stochastic functional differential equations

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Almost sure exponential stability of numerical solutions for stochastic delay differential equations

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Choice of \({\theta}\) and mean-square exponential stability in the stochastic theta method of stochastic differential equations

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Identifiers

zbMATH Open document ID

1291.60143

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DOI

10.1080/10236198.2014.892934

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5168660

@@ Property / full work available at URL @@
+https://doi.org/10.1080/10236198.2014.892934
+Normal rank
@@ Property / OpenAlex ID @@
+W2012747579
@@ Property / OpenAlex ID: W2012747579 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical Analysis of Explicit One-Step Methods for Stochastic Delay Differential Equations
+Normal rank
@@ Property / cites work @@
+Exponential stability in \(p\)-th mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations
+Normal rank
@@ Property / cites work @@
+On the boundedness of asymptotic stability regions for the stochastic theta method
+Normal rank
@@ Property / cites work @@
+Asymptotic mean-square stability of two-step methods for stochastic ordinary differential equations
+Normal rank
@@ Property / cites work @@
+Numerical methods for strong solutions of stochastic differential equations: an overview
+Normal rank
@@ Property / cites work @@
+Convergence and stability of the split-step \(\theta \)-method for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Mean-Square and Asymptotic Stability of the Stochastic Theta Method
+Normal rank
@@ Property / cites work @@
+Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Exponential mean square stability of numerical methods for systems of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation
+Normal rank
@@ Property / cites work @@
+Q4369402
@@ Property / cites work: Q4369402 / rank @@
+Normal rank
@@ Property / cites work @@
+Exponential stability of equidistant Euler-Maruyama approximations of stochastic differential delay equations
+Normal rank
@@ Property / cites work @@
+Numerical solutions of stochastic differential delay equations under local Lipschitz condition
+Normal rank
@@ Property / cites work @@
+Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
+Normal rank
@@ Property / cites work @@
+Delay-dependent exponential stability of the backward Euler method for nonlinear stochastic delay differential equations
+Normal rank
@@ Property / cites work @@
+Stability Analysis of Numerical Schemes for Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+The improved split-step backward Euler method for stochastic differential delay equations
+Normal rank
@@ Property / cites work @@
+Discrete Razumikhin-type technique and stability of the Euler-Maruyama method to stochastic functional differential equations
+Normal rank
@@ Property / cites work @@
+Almost sure exponential stability of numerical solutions for stochastic delay differential equations
+Normal rank
@@ Property / cites work @@
+Choice of \({\theta}\) and mean-square exponential stability in the stochastic theta method of stochastic differential equations
+Normal rank