Almost sure asymptotic stability of drift-implicit \(\theta\)-methods for bilinear ordinary stochastic differential equations in \(\mathbb R^1\)

DOI10.1016/j.cam.2004.09.060zbMath1073.65009OpenAlexW2055122108MaRDI QIDQ1779415

Henri Schurz, Aleksandra Rodkina

Publication date: 1 June 2005

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.2004.09.060

zbMATH Keywords

exponential stabilityGlobal asymptotic stabilityStochastic differential equationsAlmost sure stabilityDrift-implicit \(\theta\)-methodsNonautonomous test equationsVariable step sizes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Numerical methods for initial value problems involving ordinary differential equations (65L05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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