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

DOI10.1016/J.SPL.2012.05.004zbMATH Open1250.60030OpenAlexW2077083259MaRDI QIDQ452876FDOQ452876

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

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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)

Cites Work

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• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
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• Khasminskii-Type Theorems for Stochastic Differential Delay Equations
• 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 of equidistant Euler-Maruyama approximations of stochastic differential delay equations
• LaSalle-type theorems for stochastic differential delay equations
• Almost sure asymptotic stability of drift-implicit \(\theta\)-methods for bilinear ordinary stochastic differential equations in \(\mathbb R^1\)
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• A note on the stability properties of the Euler methods for solving stochastic differential equations

Cited In (16)

• Stationary distribution of the stochastic theta method for nonlinear 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
• Almost sure exponential stability of the θ-Euler-Maruyama method for neutral stochastic differential equations with time-dependent delay when θ ∈ [0; 1 2]
• Asymptotic moment boundedness of the stochastic theta method and its application for stochastic differential equations
• 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
• 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
• \(p\)th moment \((p \in (0, 1))\) and almost sure exponential stability of the exact solutions and modified truncated EM method for 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
• A probabilistic interpretation of the \(\theta\)-method.
• Almost sure asymptotic stability of drift-implicit \(\theta\)-methods for bilinear ordinary stochastic differential equations in \(\mathbb R^1\)
• Exponential mean-square stability of the θ-method for neutral stochastic delay differential equations with jumps
• Exponential mean-square stability of the improved split-step theta methods for non-autonomous stochastic differential equations
• Moment exponential stability of the \(\theta\)-method for stochastic differential equations with monotone-type conditions

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