Exponential mean square stability of numerical methods for systems of stochastic differential equations

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DOI10.1016/j.cam.2012.03.005zbMath1251.65003MaRDI QIDQ433947

Cheng-Ming Huang

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

zbMATH Keywords

exponential stability; Poisson process; mean square stability; theta method; systems of linear Itô stochastic differential equations

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

65L20: Stability and convergence of numerical methods for ordinary differential equations

34F05: Ordinary differential equations and systems with randomness

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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Cites Work

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