A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems (Q421807)
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scientific article; zbMATH DE number 6035216
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| English | A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems |
scientific article; zbMATH DE number 6035216 |
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A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems (English)
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14 May 2012
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This paper is concerned with mean-square stability analysis of linear systems of stochastic differential equations and develop efficient approaches for the manipulation of matrices involved in this analysis. The authors then study the effect of different noise structures on the \(\theta\)-Maruyama and \(\theta\)-Milstein methods.
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asymptotic mean-square stability
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\(\theta\)-Maruyama method
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\(\theta\)-Milstein method
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systems of stochastic differential equations
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linear stability analysis
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0.8592846989631653
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0.8457865118980408
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0.8374500274658203
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0.820988118648529
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0.8196801543235779
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