Asymptotic moment boundedness of the stochastic theta method and its application for stochastic differential equations

DOI10.1186/1687-1847-2014-310zbMATH Open1346.60089OpenAlexW2042512114WikidataQ59323561 ScholiaQ59323561MaRDI QIDQ307360FDOQ307360

Authors Qinwei Qiu, Liangjian Hu, Wei Liu 

Publication date 1 September 2016

Published in Advances in Difference Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1186/1687-1847-2014-310

zbMATH Keywords

stochastic differential equationsasymptotic moment boundednessnumerical stationary distributionstochastic theta method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Recommendations

• Asymptotic moment boundedness of the numerical solutions of stochastic differential equations
• Stationary distribution of the stochastic theta method for nonlinear stochastic differential equations
• Choice of \(\theta\) and its effects on stability in the stochastic \(\theta\)-method of stochastic delay differential equations
• On the boundedness of asymptotic stability regions for the stochastic theta method
• The stochastic \(\theta\) method for stationary distribution of stochastic differential equations with Markovian switching

Cites Work

• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 1216399 (Why is no real title available?)
• A note on sufficient conditions for asymptotic stability in distribution of stochastic differential equations with Markovian switching
• Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic 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 of drift-implicit \(\theta\)-methods for bilinear ordinary stochastic differential equations in \(\mathbb R^1\)
• Almost sure exponential stability of backward Euler-Maruyama discretizations for hybrid stochastic differential equations
• Almost sure exponential stability of numerical solutions for stochastic delay differential equations
• Almost sure exponential stability of the \(\theta\)-method for stochastic differential equations
• Asymptotic moment boundedness of the numerical solutions of stochastic differential equations
• Asymptotic stability in distribution of stochastic differential equations with Markovian switching.
• Choice of \(\theta\) and its effects on stability in the stochastic \(\theta\)-method of stochastic delay differential equations
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Numerical method for stationary distribution of stochastic differential equations with Markovian switching
• Numerical solution of stochastic differential equations with jumps in finance
• Numerical stationary distribution and its convergence for nonlinear stochastic differential equations
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Stability in Distribution of Numerical Solutions for Stochastic Differential Equations
• Stationary distributions of Euler–Maruyama-type stochastic difference equations with Markovian switching and their convergence
• Stochastic Differential Equations with Markovian Switching

Cited In (10)

• Stationary distribution of the stochastic theta method for nonlinear stochastic differential equations
• Stochastic Theta Method for a Reflected Stochastic Differential Equation
• Extrapolation of the Stochastic Theta Numerical Method for Stochastic Differential Equations
• The stochastic \(\theta\) method for stationary distribution of stochastic differential equations with Markovian switching
• Modified stochastic theta methods by ODEs solvers for stochastic differential equations
• On the boundedness of asymptotic stability regions for the stochastic theta method
• P-moment stability under small Gauss type random excitation of stochastic system
• A long term analysis of stochastic theta methods for mean reverting linear process with jumps
• Asymptotic moment boundedness of the numerical solutions of stochastic differential equations
• Moment exponential stability of the \(\theta\)-method for stochastic differential equations with monotone-type conditions

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