Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations

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Publication:4827617

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DOI10.1112/S1461157000000462zbMath1055.65009MaRDI QIDQ4827617

Xuerong Mao, Desmond J. Higham, Andrew M. Stuart

Publication date: 18 November 2004

Published in: LMS Journal of Computation and Mathematics (Search for Journal in Brave)

Full work available at URL: http://www.lms.ac.uk/jcm/6/lms2003-014/

zbMATH Keywords

stochastic differential equations finite-time convergence implicit methods stochastic theta methods exponential mean-square stability second-moment Lyapunov exponent bounds

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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