Exponential mean square stability of numerical methods for systems of stochastic differential equations
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exponential stabilitymean square stabilityPoisson processsystems of linear Itô stochastic differential equationstheta method
Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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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Cites work
- A survey of numerical methods for stochastic differential equations
- Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations
- Asymptotic mean-square stability of two-step methods for stochastic ordinary differential equations
- Compensated stochastic theta methods for stochastic differential equations with jumps
- Convergence and stability of implicit methods for jump-diffusion systems
- Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
- scientific article; zbMATH DE number 979834 (Why is no real title available?)
- scientific article; zbMATH DE number 3438157 (Why is no real title available?)
- scientific article; zbMATH DE number 2003637 (Why is no real title available?)
- scientific article; zbMATH DE number 1405267 (Why is no real title available?)
- Mean-Square and Asymptotic Stability of the Stochastic Theta Method
- Mean-square stability of numerical schemes for stochastic differential systems
- Numerical Algorithms for Forward-Backward Stochastic Differential Equations
- Numerical methods for nonlinear stochastic differential equations with jumps
- Numerical methods for strong solutions of stochastic differential equations: an overview
- On moment-dissipative stochastic dynamical systems
- Solving ordinary differential equations. II: Stiff and differential-algebraic problems.
- Stability Analysis of Numerical Schemes for Stochastic Differential Equations
- Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
- The Invariance of Asymptotic Laws of Linear Stochastic Systems under Discretization
- The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps
- Towards a systematic linear stability analysis of numerical methods for systems of stochastic differential equations
Cited in
(84)- Convergence and stability of the compensated split-step theta method for stochastic differential equations with piecewise continuous arguments driven by Poisson random measure
- Mean square stability of two classes of theta methods for numerical computation and simulation of delayed stochastic Hopfield neural networks
- On mean square stability and dissipativity of split-step theta method for nonlinear neutral stochastic delay differential equations
- Convergence and stability of two classes of theta-Milstein schemes for stochastic differential equations
- Stability equivalence between the neutral delayed stochastic differential equations and the Euler-Maruyama numerical scheme
- Exponential mean-square stability of the improved split-step theta methods for non-autonomous stochastic differential equations
- Exponential stability of -method for stochastic differential equations in the G-framework
- Mean-square stability of split-step theta Milstein methods for stochastic differential equations
- Convergence of the compensated split-step \(\theta\)-method for nonlinear jump-diffusion systems
- Almost sure stability with general decay rate of exact and numerical solutions for stochastic pantograph differential equations
- Exponential stability of the split-step \(\theta \)-method for neutral stochastic delay differential equations with jumps
- Convergence rate and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments
- Stability of the drift-implicit and double-implicit Milstein schemes for nonlinear SDEs
- 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
- Strong convergence of the split-step theta method for neutral stochastic delay differential equations
- On the backward Euler method for a generalized Ait-Sahalia-type rate model with Poisson jumps
- Convergence, non-negativity and stability of a new lobatto IIIC-Milstein method for a pricing option approach based on stochastic volatility model
- Exponential mean-square stability properties of stochastic linear multistep methods
- Exponential stability of \(\theta\)-EM method for nonlinear stochastic Volterra integro-differential equations
- A two-parameter Milstein method for stochastic Volterra integral equations
- Mean-square exponential stability of impulsive conformable fractional stochastic differential system with application on epidemic model
- Continuous stage stochastic Runge-Kutta methods
- Split-step theta Milstein methods for SDEs with non-globally Lipschitz diffusion coefficients
- Numerical analysis of split-step \(\theta\) methods with truncated Wiener process for a stochastic SIS epidemic model
- Exponential stability of non-linear stochastic delay differential system with generalized delay-dependent impulsive points
- Mean-square convergence rates of stochastic theta methods for SDEs under a coupled monotonicity condition
- Strong convergence and stability of the split-step theta method for highly nonlinear neutral stochastic delay integro differential equation
- Mean-square stability and convergence of a split-step theta method for stochastic Volterra integral equations
- Exponential discrete gradient schemes for a class of stochastic differential equations
- Split-step balanced \(\theta \)-method for SDEs with non-globally Lipschitz continuous coefficients
- Choice of \({\theta}\) and mean-square exponential stability in the stochastic theta method of stochastic differential equations
- Mean square stability and dissipativity of two classes of theta methods for systems of stochastic delay differential equations
- New explicit stabilized stochastic Runge-Kutta methods with weak second order for stiff Itô stochastic differential equations
- Theoretical and numerical analysis for Volterra integro-differential equations with Itô integral under polynomially growth conditions
- Convergence and stability of the backward Euler method for jump-diffusion SDEs with super-linearly growing diffusion and jump coefficients
- Exponential mean square stability of the theta approximations for neutral stochastic differential delay equations
- Structure-preserving stochastic Runge-Kutta-Nyström methods for nonlinear second-order stochastic differential equations with multiplicative noise
- Arbitrary high-order EQUIP methods for stochastic canonical Hamiltonian systems
- Preserving exponential mean-square stability in the simulation of hybrid stochastic differential equations
- A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise
- Convergence of the split-step \(\theta\)-method for stochastic age-dependent population equations with Markovian switching and variable delay
- Compensated projected Euler-Maruyama method for stochastic differential equations with superlinear jumps
- Linear mean-square stability properties of semi-implicit weak order 2.0 Taylor schemes for systems of stochastic differential equations
- Mean square stability of two classes of theta method for neutral stochastic differential delay equations
- High-order split-step theta methods for non-autonomous stochastic differential equations with non-globally Lipschitz continuous coefficients
- Strong convergence of split-step theta methods for non-autonomous stochastic differential equations
- Double-implicit and split two-step Milstein schemes for stochastic differential equations
- Convergence and stability of impulsive stochastic differential equations
- Mean-square stability analysis of numerical schemes for stochastic differential systems
- Numerical stationary distribution and its convergence for nonlinear stochastic differential equations
- Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
- Stability of exponential Euler method for stochastic systems under Poisson white noise excitations
- Stability of split-step one-leg theta methods for stochastic differential equations
- Exponential stability of a stochastic Taylor method of order 1.5 for stochastic differential equations
- scientific article; zbMATH DE number 7366853 (Why is no real title available?)
- Convergence and stability of split-step theta methods with variable step-size for stochastic pantograph differential equations
- Convergence and stability of the canonical EM splitting method for nonautonomous stiff stochastic differential equations
- Convergence and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments
- Mean-square exponential dichotomy of numerical solutions to stochastic differential equations
- Strong Convergence Analysis of Split-Step θ-Scheme for Nonlinear Stochastic Differential Equations with Jumps
- Preserving exponential mean square stability and decay rates in two classes of theta approximations of stochastic differential equations
- Convergence and stability of the semi-tamed Euler scheme for stochastic differential equations with non-Lipschitz continuous coefficients
- Two-step Maruyama schemes for nonlinear stochastic differential delay equations
- Stochastic partitioned averaged vector field methods for stochastic differential equations with a conserved quantity
- Convergence Rates of Split-Step Theta Methods for SDEs with Non-Globally Lipschitz Diffusion Coefficients
- Mean-square convergence and stability of compensated stochastic theta methods for jump-diffusion SDEs with super-linearly growing coefficients
- A brief review on stability investigations of numerical methods for systems of stochastic differential equations
- An exponential split-step double balanced Milstein scheme for SODEs with locally Lipschitz continuous coefficients
- An explicit positivity-preserving scheme for the Heston 3/2-model with order-one strong convergence
- 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
- Optimal mean square E-stability of some balanced midpoint Milstein methods for stochastic differential equations in \(\mathbb{C}^1\)
- Mean-square contractivity and convergence rate of stochastic theta Milstein schemes for non-autonomous SDEs with non-globally Lipschitz diffusion coefficients
- Propagation of chaos in infinite horizon and numerical stability for stochastic McKean-Vlasov equations
- Numerical threshold of split-step methods for stochastic age-structured population models
- Mean-square contractivity and convergence rate of stochastic theta schemes for non-autonomous SDEs with non-globally Lipschitz continuous coefficients
- The convergence and MS stability of exponential Euler method for semilinear stochastic differential equations
- Mean square A- and L-stability of balanced midpoint Milstein methods for one-dimensional bi-linear stochastic differential equations
- Split-step integrator for generalized stochastic Volterra integro-differential equations
- Modified split-step theta method for stochastic differential equations driven by fractional Brownian motion
- Numerical contractivity of split-step backward Milstein-type schemes for commutative SDEs with non-globally Lipschitz continuous coefficients
- Exponential stability of numerical solutions to stochastic differential equations -- the necessity of fully implicit methods
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