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
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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)
Cites Work
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- Stochastic Differential Equations with Markovian Switching
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- Almost Sure and Moment Exponential Stability in the Numerical Simulation of 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 method for stationary distribution of stochastic differential equations with Markovian switching
- Stationary distributions of Euler–Maruyama-type stochastic difference equations with Markovian switching and their convergence
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- Asymptotic moment boundedness of the numerical solutions of stochastic differential equations
- 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
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- Almost sure exponential stability of the \(\theta\)-method for stochastic differential equations
- Numerical stationary distribution and its convergence for nonlinear stochastic differential equations
- Choice of \(\theta\) and its effects on stability in the stochastic \(\theta\)-method of stochastic delay differential equations
- Almost sure asymptotic stability analysis of the \(\theta\)-Maruyama method applied to a test system with stabilising and destabilising stochastic perturbations
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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