Exponential mean square stability of numerical methods for systems of stochastic differential equations (Q433947): Difference between revisions
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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. | |||
Property / review text: 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. / rank | |||
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Property / reviewed by | |||
Property / reviewed by: Melvin D. Lax / rank | |||
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Property / Mathematics Subject Classification ID: 65C30 / rank | |||
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Property / Mathematics Subject Classification ID: 65L20 / rank | |||
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Property / Mathematics Subject Classification ID: 60H35 / rank | |||
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Property / Mathematics Subject Classification ID: 60H10 / rank | |||
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Property / Mathematics Subject Classification ID: 34F05 / rank | |||
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Property / zbMATH DE Number: 6053792 / rank | |||
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Property / zbMATH Keywords | |||
mean square stability | |||
Property / zbMATH Keywords: mean square stability / rank | |||
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exponential stability | |||
Property / zbMATH Keywords: exponential stability / rank | |||
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theta method | |||
Property / zbMATH Keywords: theta method / rank | |||
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Poisson process | |||
Property / zbMATH Keywords: Poisson process / rank | |||
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systems of linear Itô stochastic differential equations | |||
Property / zbMATH Keywords: systems of linear Itô stochastic differential equations / rank | |||
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Revision as of 00:32, 30 June 2023
scientific article
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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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