Exponential mean square stability of numerical methods for systems of stochastic differential equations
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Publication:433947
DOI10.1016/J.CAM.2012.03.005zbMATH Open1251.65003OpenAlexW1983176089MaRDI QIDQ433947FDOQ433947
Publication date: 9 July 2012
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2012.03.005
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Poisson processexponential stabilitymean square stabilitytheta method[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=systems+of+linear+It%EF%BF%BD%EF%BF%BD+stochastic+differential+equations&go=Go systems of linear It�� stochastic differential equations]
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)
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Cited In (67)
- Arbitrary high-order EQUIP methods for stochastic canonical Hamiltonian systems
- Strong convergence and stability of the split-step theta method for highly nonlinear neutral stochastic delay integro differential equation
- Convergence and stability of the compensated split-step theta method for stochastic differential equations with piecewise continuous arguments driven by Poisson random measure
- A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise
- Mean-square exponential stability of impulsive conformable fractional stochastic differential system with application on epidemic model
- Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
- Convergence rate and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments
- On the backward Euler method for a generalized Ait-Sahalia-type rate model with Poisson jumps
- Linear mean-square stability properties of semi-implicit weak order 2.0 Taylor schemes for systems of stochastic differential equations
- Exponential stability of the split-step \(\theta \)-method for neutral stochastic delay differential equations with jumps
- Mean-square stability analysis of numerical schemes for stochastic differential systems
- Stability equivalence between the neutral delayed stochastic differential equations and the Euler-Maruyama numerical scheme
- Preserving exponential mean square stability and decay rates in two classes of theta approximations of stochastic differential equations
- High-order split-step theta methods for non-autonomous stochastic differential equations with non-globally Lipschitz continuous coefficients
- Mean square stability of two classes of theta method for neutral stochastic differential delay equations
- Convergence and stability of the backward Euler method for jump-diffusion SDEs with super-linearly growing diffusion and jump coefficients
- Strong convergence of compensated split-step theta methods for SDEs with jumps under monotone condition
- Strong convergence and exponential stability of stochastic differential equations with piecewise continuous arguments for non-globally Lipschitz continuous coefficients
- Mean square stability and almost sure exponential stability of two step Maruyama methods of stochastic delay Hopfield neural networks
- Convergence of the compensated split-step \(\theta\)-method for nonlinear jump-diffusion systems
- Convergence Rates of Split-Step Theta Methods for SDEs with Non-Globally Lipschitz Diffusion Coefficients
- Exponential discrete gradient schemes for a class of stochastic differential equations
- STOCHASTIC PARTITIONED AVERAGED VECTOR FIELD METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH A CONSERVED QUANTITY
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- Convergence and stability of impulsive stochastic differential equations
- Compensated projected Euler-Maruyama method for stochastic differential equations with superlinear jumps
- Convergence and stability of the semi-tamed Euler scheme for stochastic differential equations with non-Lipschitz continuous coefficients
- Mean square stability of two classes of theta methods for numerical computation and simulation of delayed stochastic Hopfield neural networks
- Continuous stage stochastic Runge-Kutta methods
- Strong convergence of split-step theta methods for non-autonomous stochastic differential equations
- Numerical stationary distribution and its convergence for nonlinear stochastic differential equations
- Exponential stability of non-linear stochastic delay differential system with generalized delay-dependent impulsive points
- Strong convergence of the split-step theta method for neutral stochastic delay differential equations
- Structure-preserving stochastic Runge-Kutta-Nyström methods for nonlinear second-order stochastic differential equations with multiplicative noise
- Split-step theta Milstein methods for SDEs with non-globally Lipschitz diffusion coefficients
- Convergence, non-negativity and stability of a new lobatto IIIC-Milstein method for a pricing option approach based on stochastic volatility model
- Mean-square convergence rates of stochastic theta methods for SDEs under a coupled monotonicity condition
- Theoretical and numerical analysis for Volterra integro-differential equations with Itô integral under polynomially growth conditions
- Numerical analysis of split-step \(\theta\) methods with truncated Wiener process for a stochastic SIS epidemic model
- Almost sure stability with general decay rate of exact and numerical solutions for stochastic pantograph differential equations
- Convergence of the split-step \(\theta\)-method for stochastic age-dependent population equations with Markovian switching and variable delay
- Mean square stability and dissipativity of two classes of theta methods for systems of stochastic delay differential equations
- Exponential mean square stability of the theta approximations for neutral stochastic differential delay equations
- Exponential stability of \(\theta\)-method for stochastic differential equations in the \(G\)-framework
- A two-parameter Milstein method for stochastic Volterra integral equations
- New explicit stabilized stochastic Runge-Kutta methods with weak second order for stiff Itô stochastic differential equations
- Preserving exponential mean-square stability in the simulation of hybrid stochastic differential equations
- Mean-square stability and convergence of a split-step theta method for stochastic Volterra integral equations
- Convergence and stability of split-step theta methods with variable step-size for stochastic pantograph differential equations
- Strong Convergence Analysis of Split-Step θ-Scheme for Nonlinear Stochastic Differential Equations with Jumps
- Convergence and stability of two classes of theta-Milstein schemes for stochastic differential equations
- Convergence and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments
- Split-step balanced \(\theta \)-method for SDEs with non-globally Lipschitz continuous coefficients
- Double-implicit and split two-step Milstein schemes for stochastic differential equations
- Exponential mean-square stability properties of stochastic linear multistep methods
- Exponential mean-square stability of the improved split-step theta methods for non-autonomous stochastic differential equations
- On mean square stability and dissipativity of split-step theta method for nonlinear neutral stochastic delay differential equations
- Mean-square stability of split-step theta Milstein methods for stochastic differential equations
- Stability of the drift-implicit and double-implicit Milstein schemes for nonlinear SDEs
- A brief review on stability investigations of numerical methods for systems of stochastic differential equations
- An exponential split-step double balanced \(\vartheta\) Milstein scheme for SODEs with locally Lipschitz continuous coefficients
- Mean-square convergence and stability of compensated stochastic theta methods for jump-diffusion SDEs with super-linearly growing coefficients
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- An explicit positivity-preserving scheme for the Heston 3/2-model with order-one strong convergence
- Two-step Maruyama schemes for nonlinear stochastic differential delay equations
- Convergence and stability of an explicit numerical method for stochastic differential equations with piecewise continuous arguments
- Convergence and stability of exponential Euler method for linear stochastic differential equations with variable delay
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