Stability in Distribution of Numerical Solutions for Stochastic Differential Equations

DOI10.1081/SAP-200026423zbMath1071.60062OpenAlexW2017132685MaRDI QIDQ3158173

Xuerong Mao, Chenggui Yuan

Publication date: 20 January 2005

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sap-200026423

zbMATH Keywords

Euler-Maruyama method

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Asymptotic stability in control theory (93D20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

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• Simulation studies on time discrete diffusion approximations
• Random differential inequalities
• \(A\)-stability of Runge-Kutta methods for systems with additive noise
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Introduction to the numerical analysis of stochastic delay differential equations
• The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
• Approximation of Upper Lyapunov Exponents of Bilinear Stochastic Differential Systems
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations

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