Stability of Stochastic Differential Equations Under Discretization

DOI10.1080/07362990802405828zbMATH Open1155.65009OpenAlexW2005832817MaRDI QIDQ3548439FDOQ3548439

Authors: A. Korzeniowski 

Publication date: 12 December 2008

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

Full work available at URL: https://doi.org/10.1080/07362990802405828

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zbMATH Keywords

mean square stabilitySDE discretization

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• Lyapunov functionals construction for stochastic difference second-kind Volterra equations with continuous time
• Stability of a linear system with random disturbances of its parameters

Cited In (6)

• L 1 -Stability of Stationary Discrete Shocks
• Stabilization of company's income modeled by a system of discrete stochastic equations
• Basic concepts of numerical analysis of stochastic differential equations explained by balanced implicit theta methods
• Modeling hybrid network dynamics under random perturbations
• Title not available (Why is that?)
• Almost sure asymptotic stability and convergence of stochastic theta methods applied to systems of linear SDEs in \(\mathbb R^d\)

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