Choice of \({\theta}\) and mean-square exponential stability in the stochastic theta method of stochastic differential equations
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Publication:2252758
DOI10.1016/j.cam.2013.07.007zbMath1291.65028MaRDI QIDQ2252758
Publication date: 23 July 2014
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.2013.07.007
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
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