Asymptotic moment boundedness of the stochastic theta method and its application for stochastic differential equations
From MaRDI portal
Publication:307360
DOI10.1186/1687-1847-2014-310zbMath1346.60089OpenAlexW2042512114WikidataQ59323561 ScholiaQ59323561MaRDI QIDQ307360
Liangjian Hu, Qinwei Qiu, 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
stochastic differential equationsasymptotic moment boundednessnumerical stationary distributionstochastic theta method
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)
Related Items
The stochastic \(\theta\) method for stationary distribution of stochastic differential equations with Markovian switching ⋮ Stationary distribution of the stochastic theta method for nonlinear stochastic differential equations ⋮ P-moment stability under small Gauss type random excitation of stochastic system
Cites Work
- Unnamed Item
- Unnamed Item
- Almost sure exponential stability of the \(\theta\)-method for stochastic differential equations
- Numerical stationary distribution and its convergence for nonlinear stochastic differential equations
- 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
- Numerical solution of stochastic differential equations with jumps in finance
- Numerical method for stationary distribution of stochastic differential equations with Markovian switching
- Almost sure asymptotic stability of drift-implicit \(\theta\)-methods for bilinear ordinary stochastic differential equations in \(\mathbb R^1\)
- Asymptotic moment boundedness of the numerical solutions of stochastic differential equations
- Asymptotic stability in distribution of stochastic differential equations with Markovian switching.
- A note on sufficient conditions for asymptotic stability in distribution of stochastic differential equations with Markovian switching
- Stability in Distribution of Numerical Solutions for Stochastic Differential Equations
- Mean-Square and Asymptotic Stability of the Stochastic Theta Method
- Stationary distributions of Euler–Maruyama-type stochastic difference equations with Markovian switching and their convergence
- Choice of θ and its effects on stability in the stochastic θ-method of stochastic delay differential equations
- Almost sure asymptotic stability analysis of the θ-Maruyama method applied to a test system with stabilising and destabilising stochastic perturbations
- Stability Analysis of Numerical Schemes for Stochastic Differential Equations
- Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations
- Stochastic Differential Equations with Markovian Switching
