Almost sure exponential stability in the numerical simulation of stochastic differential equations

DOI10.1137/140966198zbMATH Open1327.65016OpenAlexW2003192055MaRDI QIDQ2946211FDOQ2946211

Authors: Xuerong Mao 

Publication date: 16 September 2015

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://strathprints.strath.ac.uk/50887/

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zbMATH Keywords

moment exponential stabilityalmost sure exponential stabilityLipschitz conditionstochastic theta methodlinear growth condition

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cited In (31)

• Equivalence of \(p\)th moment stability between stochastic differential delay equations and their numerical methods
• Equivalence of stability among stochastic differential equations, stochastic differential delay equations, and their corresponding Euler-Maruyama methods
• Almost sure exponential stability of numerical solutions for stochastic delay differential equations with jumps
• Convergence and asymptotical stability of numerical solutions for neutral stochastic delay differential equations driven by \(G\)-Brownian motion
• Delay-dependent stability of predictor-corrector methods of Runge-Kutta type for stochastic delay differential equations
• Theoretical and numerical analysis of the Euler-Maruyama method for generalized stochastic Volterra integro-differential equations
• Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
• Almost sure exponential stability of stochastic differential delay equations
• Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations
• Stability equivalence between the neutral delayed stochastic differential equations and the Euler-Maruyama numerical scheme
• Convergence and stability of exponential integrators for semi-linear stochastic variable delay integro-differential equations
• Exponential stability of a stochastic Taylor method of order 1.5 for stochastic differential equations
• Stability analysis between the hybrid stochastic delay differential equations with jumps and the Euler-Maruyama method
• Almost sure and moment exponential stability of predictor-corrector methods for stochastic differential equations
• Improved results on stabilization of \(G\)-SDEs by feedback control based on discrete-time observations
• Convergence and stability of the one-leg \(\theta\) method for stochastic differential equations with piecewise continuous arguments
• Convergence and stability of the exponential Euler method for semi-linear stochastic delay differential equations
• Almost sure exponential stability of stochastic differential delay equations
• Asymptotic mean-square boundedness of the numerical solutions of stochastic age-dependent population equations with Poisson jumps
• Strong convergence and asymptotic stability of explicit numerical schemes for nonlinear stochastic differential equations
• Exponential stability of \(\theta\)-method for stochastic differential equations in the \(G\)-framework
• Title not available (Why is that?)
• Almost sure asymptotic stability analysis of the \(\theta\)-Maruyama method applied to a test system with stabilising and destabilising stochastic perturbations
• Almost sure exponential stability of \(\theta\)-method for hybrid stochastic differential equations
• Almost sure exponential stability of the \(\theta\) method for SDDEs with Khasminskii-type condition
• Further results on stabilization of stochastic differential equations with delayed feedback control under \( G \)-expectation framework
• The partially truncated Euler-Maruyama method and its stability and boundedness
• A stable numerical scheme for stochastic differential equations with multiplicative noise
• Stability analysis of split-step theta method for neutral stochastic delayed neural networks
• Stability equivalence among stochastic differential equations and stochastic differential equations with piecewise continuous arguments and corresponding Euler-Maruyama methods
• Asymptotic mean square stability of predictor-corrector methods for stochastic delay ordinary and partial differential equations

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