The split-step Euler Maruyama method preserves asymptotic stability for simulated annealing problems

MaRDI QIDQ3013372zbMATH OpenFDO

Authors John A. D. Appleby, Jian Cheng, Alexandra Rodkina

Publication date 18 July 2011

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Asymptotic properties of solutions to ordinary differential equations (34D05) 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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