Almost sure exponential stability of the -method for stochastic differential equations

DOI10.1016/J.SPL.2012.05.004MaRDI QIDQ452876zbMATH OpenOpenAlexFDO

Authors Fuke Wu, Lin Chen

Publication date 18 September 2012

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2012.05.004

zbMATH Keywords

stochastic differential equationsalmost sure exponential stability\(\theta \)-methodone-sided linear growthsemimartingale convergence theorem

Mathematics Subject Classification ID

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) Stochastic stability in control theory (93E15)

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Cites work

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• A note on the LaSalle-type theorems for stochastic differential delay equations
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• Almost sure asymptotic stability of drift-implicit -methods for bilinear ordinary stochastic differential equations in R^1
• Almost sure exponential stability of backward Euler-Maruyama discretizations for hybrid stochastic differential equations
• Almost sure exponential stability of numerical solutions for stochastic delay differential equations
• Exponential stability in \(p\)-th mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations
• Exponential stability of equidistant Euler-Maruyama approximations of stochastic differential delay equations
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Khasminskii-Type Theorems for Stochastic Differential Delay Equations
• LaSalle-type theorems for stochastic differential delay equations
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Nonlinear stability of \(\theta \)-methods for neutral differential equations in Banach space
• Numerical solutions of stochastic differential equations -- implementation and stability issues
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Stochastic Differential Equations with Markovian Switching

Cited in

(25)

• Stationary distribution of the stochastic theta method for nonlinear stochastic differential equations
• Almost sure exponential stability in the numerical simulation of stochastic differential equations
• Asymptotic exponential stability of modified truncated EM method for neutral stochastic differential delay equations
• Exponential stability of the exact solutions and \(\theta\)-EM approximations to neutral SDDEs with Markov switching
• Asymptotic moment boundedness of the stochastic theta method and its application for stochastic differential equations
• Almost sure exponential stability of the backward Euler-Maruyama scheme for stochastic delay differential equations with monotone-type condition
• Almost sure exponential stability of the θ-Euler-Maruyama method for neutral stochastic differential equations with time-dependent delay when θ ∈ [0; 1 2]
• The stochastic \(\theta\) method for stationary distribution of stochastic differential equations with Markovian switching
• On the boundedness of asymptotic stability regions for the stochastic theta method
• Exponential stability of numerical solutions to stochastic differential equations -- the necessity of fully implicit methods
• Almost sure stability of stochastic theta methods with random variable stepsize for stochastic differential equations
• Choice of \({\theta}\) and mean-square exponential stability in the stochastic theta method of stochastic differential equations
• Convergence and almost sure exponential stability of implicit numerical methods for a class of highly nonlinear neutral stochastic differential equations with constant delay
• pth moment (p (0, 1)) and almost sure exponential stability of the exact solutions and modified truncated EM method for stochastic differential equations
• A probabilistic interpretation of the \(\theta\)-method.
• Almost sure asymptotic stability of drift-implicit -methods for bilinear ordinary stochastic differential equations in R^1
• Choice of and its effects on stability in the stochastic -method of stochastic delay differential equations
• Almost sure exponential stability of -method for hybrid stochastic differential equations
• Almost sure asymptotic stability and convergence of stochastic theta methods applied to systems of linear SDEs in R^d
• Almost sure asymptotic stability analysis of the \(\theta\)-Maruyama method applied to a test system with stabilising and destabilising stochastic perturbations
• Almost sure exponential stability of the method for SDDEs with Khasminskii-type condition
• Exponential mean-square stability of the -method for neutral stochastic delay differential equations with jumps
• Almost sure exponential stability of the \(\theta \)-Euler-Maruyama method, when \(\theta \in (\frac{1}{2},1)\), for neutral stochastic differential equations with time-dependent delay under nonlinear growth conditions
• Exponential mean-square stability of the improved split-step theta methods for non-autonomous stochastic differential equations
• Moment exponential stability of the -method for stochastic differential equations with monotone-type conditions

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