Application of a discrete Itô formula to determine stability (instability) of the equilibrium of a scalar linear stochastic difference equation

DOI10.1016/J.CAMWA.2012.03.012zbMATH Open1268.60092OpenAlexW2011364555MaRDI QIDQ356152FDOQ356152

P. Palmer

Publication date: 25 July 2013

Published in: Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2012.03.012

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zbMATH Keywords

random sequencestochastic difference equationsa.s. asymptotic stabilitydiscrete Itô formula multiplicative noise

Mathematics Subject Classification ID

Stability theory for difference equations (39A30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Stochastic difference equations (39A50)

Cites Work

• Title not available (Why is that?)
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations
• Title not available (Why is that?)
• Almost sure asymptotic stability analysis of the θ-Maruyama method applied to a test system with stabilising and destabilising stochastic perturbations
• Non-exponential stability and decay rates in nonlinear stochastic difference equations with unbounded noise
• On asymptotic behavior of solutions to linear discrete stochastic equation

Cited In (3)

• Stability of a stochastic discrete mutualism system
• Almost sure instability of the equilibrium solution of a Milstein-type stochastic difference equation
• Stability of a stochastic discrete SIS epidemic model with general nonlinear incidence rate

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