Stability of Stochastic Differential Equations Under Discretization

DOI10.1080/07362990802405828MaRDI QIDQ3548439zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

mean square stabilitySDE discretization

Mathematics Subject Classification ID

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

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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
• scientific article; zbMATH DE number 5951575 (Why is no real title available?)
• Almost sure asymptotic stability and convergence of stochastic theta methods applied to systems of linear SDEs in \(\mathbb R^d\)

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