Almost sure stability of the Euler-Maruyama method with random variable stepsize for stochastic differential equations

DOI10.1007/S11075-016-0162-3MaRDI QIDQ509650zbMATH OpenOpenAlexFDO

Authors Xuerong Mao, Wei Liu

Publication date 17 February 2017

Published in Numerical Algorithms (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11075-016-0162-3

zbMATH Keywords

almost sure stabilityEuler-Maruyamanumerical examplessemimartingale convergence theorystopping timevariable stepsize

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) 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)

Review text

When using the Euler-Maruyama method to approximate solutions of \(n\)-dimensional stochastic differential equations (SDEs) of the form \[ dx(t)= f(x(t))\,dt+ g(x(t))\,dB(t), \] it is proved that the (variable) stepsize can be chosen to be a function of the last approximation of \(x\) in order to make the time variable a stopping time and insure that almost sure stability of the SDEs will be retained. In this way weaker sufficient conditions for almost sure stability of the numerical solution are established. Examples are given that illustrate the efficacy of this approach.

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Cites work

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Cited in

(10)

• Adaptive timestepping for pathwise stability and positivity of strongly discretised nonlinear stochastic differential equations
• Almost sure stability with general decay rate of exact and numerical solutions for stochastic pantograph differential equations
• Convergence and asymptotical stability of numerical solutions for neutral stochastic delay differential equations driven by \(G\)-Brownian motion
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• scientific article; zbMATH DE number 5846427 (Why is no real title available?)
• Strong convergence and asymptotic stability of explicit numerical schemes for nonlinear stochastic differential equations
• Convergence and asymptotic stability of an explicit numerical method for non-autonomous stochastic differential equations
• Asymptotic mean square stability of predictor-corrector methods for stochastic delay ordinary and partial differential equations
• Almost sure stability of stochastic theta methods with random variable stepsize for stochastic differential equations

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