Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
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exponential mean-square stabilityfinite-time convergenceimplicit methodssecond-moment Lyapunov exponent boundsstochastic differential equationsstochastic theta methods
Ordinary differential equations and systems with randomness (34F05) 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) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Stability and convergence of numerical methods for ordinary differential equations (65L20)
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- Mean-Square and Asymptotic Stability of the Stochastic Theta Method
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- Stability Analysis of Numerical Schemes for Stochastic Differential Equations
- Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
Cited in
(only showing first 100 items - show all)- Mean square stability of two classes of theta methods for numerical computation and simulation of delayed stochastic Hopfield neural networks
- Numerical approximation of random periodic solutions of stochastic differential equations
- Convergence and stability of two classes of theta-Milstein schemes for stochastic differential equations
- Stability equivalence between the neutral delayed stochastic differential equations and the Euler-Maruyama numerical scheme
- Exponential mean-square stability of the improved split-step theta methods for non-autonomous stochastic differential equations
- Exponential stability of -method for stochastic differential equations in the G-framework
- Equivalence of the mean square stability between the partially truncated Euler-Maruyama method and stochastic differential equations with super-linear growing coefficients
- Mean-square stability of split-step theta Milstein methods for stochastic differential equations
- Almost surely exponential stability of numerical solutions for stochastic pantograph equations
- Strong convergence of the split-step \(\theta\)-method for stochastic age-dependent capital system with random jump magnitudes
- Numerical simulation of a linear stochastic oscillator with additive noise
- Design of robust knowledge bases of fuzzy controllers for intelligent control of substantially nonlinear dynamic systems. II. A soft computing optimizer and robustness of intelligent control systems
- High order local linearization methods: an approach for constructing A-stable explicit schemes for stochastic differential equations with additive noise
- Nonuniform mean-square exponential dichotomies and mean-square exponential stability
- Convergence and asymptotical stability of numerical solutions for neutral stochastic delay differential equations driven by \(G\)-Brownian motion
- Stability of the drift-implicit and double-implicit Milstein schemes for nonlinear SDEs
- Divergence of the backward Euler method for ordinary stochastic differential equations
- Positivity preserving truncated Euler-Maruyama method for stochastic Lotka-Volterra competition model
- Ergodic numerical approximation to periodic measures of stochastic differential equations
- Convergence, non-negativity and stability of a new lobatto IIIC-Milstein method for a pricing option approach based on stochastic volatility model
- Exponential mean-square stability properties of stochastic linear multistep methods
- Mean square stability of stochastic theta method for stochastic differential equations driven by fractional Brownian motion
- Convergence and stability of exponential integrators for semi-linear stochastic pantograph integro-differential equations with jump
- Convergence, non-negativity and stability of a new tamed Euler-Maruyama scheme for stochastic differential equations with Hölder continuous diffusion coefficient
- pth moment (p (0, 1)) and almost sure exponential stability of the exact solutions and modified truncated EM method for stochastic differential equations
- Mean-square convergence rates of stochastic theta methods for SDEs under a coupled monotonicity condition
- Strong convergence and stability of the split-step theta method for highly nonlinear neutral stochastic delay integro differential equation
- Nonlinear stability issues for stochastic Runge-Kutta methods
- Stability equivalence among stochastic differential equations and stochastic differential equations with piecewise continuous arguments and corresponding Euler-Maruyama methods
- Split-step balanced \(\theta \)-method for SDEs with non-globally Lipschitz continuous coefficients
- Mean square polynomial stability of numerical solutions to a class of stochastic differential equations
- Choice of \({\theta}\) and mean-square exponential stability in the stochastic theta method of stochastic differential equations
- Mean square stability and dissipativity of two classes of theta methods for systems of stochastic delay differential equations
- Almost sure exponential stability of the backward Euler-Maruyama scheme for stochastic delay differential equations with monotone-type condition
- On local stability of stochastic delay nonlinear discrete systems with state-dependent noise
- Convergence and stability of the backward Euler method for jump-diffusion SDEs with super-linearly growing diffusion and jump coefficients
- Exponential stability of the exact solutions and \(\theta\)-EM approximations to neutral SDDEs with Markov switching
- Exponential mean square stability of the theta approximations for neutral stochastic differential delay equations
- Nonnormality and stochastic differential equations
- Almost sure and moment exponential stability of predictor-corrector methods for stochastic differential equations
- Preserving exponential mean-square stability in the simulation of hybrid stochastic differential equations
- Almost sure and moment exponential stability of Euler-Maruyama discretizations for hybrid stochastic differential equations
- Numerical methods for nonlinear stochastic differential equations with jumps
- Reliability of difference analogues to preserve stability properties of stochastic Volterra integro-differential equations
- B-convergence of split-step one-leg theta methods for stochastic differential equations
- Mean-square exponential stability of stochastic theta methods for nonlinear stochastic delay integro-differential equations
- Mean-square contractivity of stochastic \(\vartheta\)-methods
- Numerical solution of stochastic state-dependent delay differential equations: convergence and stability
- Foreign exchange options on Heston-CIR model under Lévy process framework
- Mean square stability of two classes of theta method for neutral stochastic differential delay equations
- Stability and stochastic stabilization of numerical solutions of regime-switching jump diffusion systems
- Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
- Convergence and stability of impulsive stochastic differential equations
- Exponential mean square stability of numerical methods for systems of stochastic differential equations
- Nonlinear stochastic receding horizon control: stability, robustness and Monte Carlo methods for control approximation
- $V$-integrability, asymptotic stability and comparison property of explicit numerical schemes for non-linear SDEs
- Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients
- Choice of and its effects on stability in the stochastic -method of stochastic delay differential equations
- Almost sure and mean square exponential stability of numerical solutions for neutral stochastic functional differential equations
- Improved results on stabilization of \(G\)-SDEs by feedback control based on discrete-time observations
- scientific article; zbMATH DE number 7366853 (Why is no real title available?)
- Convergence and stability of exponential integrators for semi-linear stochastic variable delay integro-differential equations
- Almost sure exponential stability of semi-Euler numerical scheme for nonlinear stochastic functional differential equation
- Convergence and mean-square stability of exponential Euler method for semi-linear stochastic delay integro-differential equations
- Almost sure exponential stability of stochastic differential delay equations
- Convergence and stability of the one-leg \(\theta\) method for stochastic differential equations with piecewise continuous arguments
- Mean-square exponential dichotomy of numerical solutions to stochastic differential equations
- The partially truncated Euler-Maruyama method and its stability and boundedness
- Preserving exponential mean square stability and decay rates in two classes of theta approximations of stochastic differential equations
- Convergence and stability of the semi-tamed Euler scheme for stochastic differential equations with non-Lipschitz continuous coefficients
- First and second moment reversion for a discretized square root process with jumps
- Strong convergence rates for backward Euler-Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
- Asymptotical mean square stability of an equilibrium point of some linear numerical solutions with multiplicative noise
- Two-step Maruyama schemes for nonlinear stochastic differential delay equations
- Numerical solutions of stochastic differential delay equations with jumps
- Almost sure exponential stability of backward Euler-Maruyama discretizations for hybrid stochastic differential equations
- Equivalence of stability among stochastic differential equations, stochastic differential delay equations, and their corresponding Euler-Maruyama methods
- How do Monte Carlo estimates affect stochastic geometric numerical integration?
- Mean-square convergence and stability of compensated stochastic theta methods for jump-diffusion SDEs with super-linearly growing coefficients
- Robustness of nonuniform mean-square exponential dichotomies
- \(T\)-stability of the split-step \(\theta\)-methods for linear stochastic delay integro-differential equations
- Some stabilities of stochastic differential equations with delay in the G-framework and Euler-Maruyama method
- A brief review on stability investigations of numerical methods for systems of stochastic differential equations
- Stability analysis between the hybrid stochastic delay differential equations with jumps and the Euler-Maruyama method
- Combining switching mechanism with re-initialization and anomaly detection for resiliency of cyber-physical systems
- Strong and weak divergence of the backward Euler method for neutral stochastic differential equations with time-dependent delay
- Optimal mean square E-stability of some balanced midpoint Milstein methods for stochastic differential equations in \(\mathbb{C}^1\)
- Time integration of dissipative stochastic PDEs
- Phase transition in the EM scheme of an SDE driven by \(\alpha\)-stable noises with \(\alpha \in (0, 2]\)
- Contractivity of stochastic -methods under non-global Lipschitz conditions
- Mean-square contractivity and convergence rate of stochastic theta schemes for non-autonomous SDEs with non-globally Lipschitz continuous coefficients
- Mean square A- and L-stability of balanced midpoint Milstein methods for one-dimensional bi-linear stochastic differential equations
- Almost sure polynomial asymptotic stability of stochastic difference equations
- Numerical contractivity of split-step backward Milstein-type schemes for commutative SDEs with non-globally Lipschitz continuous coefficients
- Efficient stability-preserving schemes for stochastic McKean-Vlasov equations with uncertainty
- Practical stability equivalence for SDEs, SDDEs, and their associated Euler-Maruyama methods in the G-framework
- Finite-Dimensional Feedback Stabilization of Nonautonomous Stochastic Parabolic Equations
- Stochastic theta methods for free stochastic differential equations
- Numerical invariant measure for periodic stochastic differential equations with superlinear terms
- Equivalence of pth moment stability between stochastic differential delay equations and their numerical methods
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