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

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Publication:433947

DOI10.1016/j.cam.2012.03.005zbMath1251.65003OpenAlexW1983176089MaRDI QIDQ433947

Cheng-Ming Huang

Publication date: 9 July 2012

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2012.03.005


zbMATH Keywords

exponential stabilityPoisson processmean square stabilitytheta methodsystems of linear Itô stochastic differential equations


Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)


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