Almost sure asymptotic stability of drift-implicit -methods for bilinear ordinary stochastic differential equations in R^1

DOI10.1016/J.CAM.2004.09.060zbMATH Open1073.65009OpenAlexW2055122108MaRDI QIDQ1779415FDOQ1779415

Authors: Henri Schurz, Alexandra 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

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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) 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) Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical methods for initial value problems involving ordinary differential equations (65L05)

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Cited In (33)

• Almost sure exponential stability of numerical solutions for stochastic delay differential equations with jumps
• The semimartingale approach to almost sure stability analysis of a two-stage numerical method for stochastic delay differential equation
• Stationary distribution of the stochastic theta method for nonlinear stochastic differential equations
• Almost sure exponential stability of stochastic differential delay equations
• A brief review on stability investigations of numerical methods for systems of stochastic differential equations
• Non-normal drift structures and linear stability analysis of numerical methods for systems of stochastic differential equations
• Almost sure exponential stability of an explicit stochastic orthogonal Runge-Kutta-Chebyshev method for stochastic delay differential equations
• Basic concepts of numerical analysis of stochastic differential equations explained by balanced implicit theta methods
• Backward Euler-Maruyama method applied to nonlinear hybrid stochastic differential equations with time-variable delay
• Exponential stability of the exact solutions and \(\theta\)-EM approximations to neutral SDDEs with Markov switching
• Almost surely asymptotic stability of exact and numerical solutions for neutral stochastic pantograph equations
• Almost surely asymptotic stability of numerical solutions for neutral stochastic delay differential equations
• Almost sure exponential stability of numerical solutions for stochastic delay differential equations
• Asymptotic moment boundedness of the stochastic theta method and its application for stochastic differential equations
• Almost sure exponential stability of the backward Euler-Maruyama scheme for stochastic delay differential equations with monotone-type condition
• The stochastic \(\theta\) method for stationary distribution of stochastic differential equations with Markovian switching
• Almost sure exponential stability of the \(\theta\)-method for stochastic differential equations
• On the boundedness of asymptotic stability regions for the stochastic theta method
• Almost sure exponential stability of the Euler-Maruyama approximations for stochastic functional differential equations
• Time correlation functions of equilibrium and nonequilibrium Langevin dynamics: derivations and numerics using random numbers
• A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise
• Mean-square exponential stability of stochastic theta methods for nonlinear stochastic delay integro-differential equations
• \(p\)th moment \((p \in (0, 1))\) and almost sure exponential stability of the exact solutions and modified truncated EM method for stochastic differential equations
• Choice of \(\theta\) and its effects on stability in the stochastic \(\theta\)-method of stochastic delay differential equations
• Almost sure asymptotic stability analysis of the \(\theta\)-Maruyama method applied to a test system with stabilising and destabilising stochastic perturbations
• Almost sure asymptotic stability and convergence of stochastic theta methods applied to systems of linear SDEs in \(\mathbb R^d\)
• Almost sure convergence and asymptotic stability of systems of linear stochastic difference equations in ℝ^ddriven byL²-martingales
• Almost sure and mean square exponential stability of numerical solutions for neutral stochastic functional differential equations
• The improved stability analysis of the backward Euler method for neutral stochastic delay differential equations
• Almost sure stability of the Euler-Maruyama method with random variable stepsize for stochastic differential equations
• Asymptotic moment boundedness of the numerical solutions of stochastic differential equations
• Almost sure exponential stability of numerical solutions to stochastic delay Hopfield neural networks
• A stable numerical scheme for stochastic differential equations with multiplicative noise

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