$V$-integrability, asymptotic stability and comparison property of explicit numerical schemes for non-linear SDEs

DOI10.1090/MCOM/3219zbMath1380.65020OpenAlexW2532035851MaRDI QIDQ4600707

Lukasz Szpruch, Xīlíng Zhāng

Publication date: 12 January 2018

Published in: Mathematics of Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/mcom/3219

zbMATH Keywords

stabilitycomparison theoremstochastic differential equationsintegrabilityLyapunov functionsEuler scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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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