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

DOI10.1016/j.cam.2013.07.007zbMath1291.65028OpenAlexW2062224371MaRDI QIDQ2252758

Xiaofeng Zong, Fuke Wu

Publication date: 23 July 2014

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.2013.07.007

zbMATH Keywords

EMmean-square exponential stabilityBEMSTMSDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Uses Software

• RODAS

Cites Work

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