Exponential mean square stability of numerical methods for systems of stochastic differential equations (Q433947): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Exponential mean square stability of numerical methods for systems of stochastic differential equations |
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Exponential mean square stability of numerical methods for systems of stochastic differential equations (English)
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9 July 2012
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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.
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mean square stability
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exponential stability
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theta method
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Poisson process
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systems of linear Itô stochastic differential equations
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