Approximation of Lyapunov Exponents of Nonlinear Stochastic Differential Equations

DOI10.1137/S0036139992227710zbMATH Open0855.60057MaRDI QIDQ4881328FDOQ4881328

Authors: Denis Talay, A. Grorud 

Publication date: 9 June 1996

Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)

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zbMATH Keywords

Lyapunov exponentsnonlinear stochastic differential equations

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic stability in control theory (93E15)

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• Estimates of exponential convergence for solutions of stochastic nonlinear systems
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• Weak local linear discretizations for stochastic differential equations: convergence and numerical schemes
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• Numerical solution of conservative finite-dimensional stochastic Schrödinger equations
• Approximating Lyapunov exponents and stationary measures

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