Almost sure stability of the Euler-Maruyama method with random variable stepsize for stochastic differential equations (Q509650)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Almost sure stability of the Euler-Maruyama method with random variable stepsize for stochastic differential equations |
scientific article |
Statements
Almost sure stability of the Euler-Maruyama method with random variable stepsize for stochastic differential equations (English)
0 references
17 February 2017
0 references
When using the Euler-Maruyama method to approximate solutions of \(n\)-dimensional stochastic differential equations (SDEs) of the form \[ dx(t)= f(x(t))\,dt+ g(x(t))\,dB(t), \] it is proved that the (variable) stepsize can be chosen to be a function of the last approximation of \(x\) in order to make the time variable a stopping time and insure that almost sure stability of the SDEs will be retained. In this way weaker sufficient conditions for almost sure stability of the numerical solution are established. Examples are given that illustrate the efficacy of this approach.
0 references
stopping time
0 references
almost sure stability
0 references
Euler-Maruyama
0 references
variable stepsize
0 references
semimartingale convergence theory
0 references
numerical examples
0 references
0 references
0 references
0 references
0 references
0 references