Almost sure instability of the equilibrium solution of a Milstein-type stochastic difference equation
DOI10.1016/J.CAMWA.2013.06.020zbMATH Open1350.39011OpenAlexW2090684509MaRDI QIDQ316375FDOQ316375
Authors: Cónall Kelly, P. Palmer, Alexandra Rodkina 
Publication date: 27 September 2016
Published in: Computers & Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2013.06.020
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Cites Work
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- Higher-order implicit strong numerical schemes for stochastic differential equations
- Probability with Martingales
- Almost sure exponential stability of neutral stochastic differential difference equations
- A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods
- Almost sure asymptotic stability analysis of the \(\theta\)-Maruyama method applied to a test system with stabilising and destabilising stochastic perturbations
- Application of a discrete Itô formula to determine stability (instability) of the equilibrium of a scalar linear stochastic difference equation
- Non-exponential stability and decay rates in nonlinear stochastic difference equations with unbounded noise
Cited In (4)
- Global stabilization and destabilization by the state dependent noise with particular distributions
- Adaptive timestepping for pathwise stability and positivity of strongly discretised nonlinear stochastic differential equations
- Instability and stability of solutions of systems of nonlinear stochastic difference equations with diagonal noise
- Application of a discrete Itô formula to determine stability (instability) of the equilibrium of a scalar linear stochastic difference equation
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