Preserving exponential mean square stability and decay rates in two classes of theta approximations of stochastic differential equations

DOI10.1080/10236198.2014.892934zbMath1291.60143OpenAlexW2012747579MaRDI QIDQ5168660

Fuke Wu, Xiaofeng Zong, Cheng-Ming Huang

Publication date: 18 July 2014

Published in: Journal of Difference Equations and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10236198.2014.892934

zbMATH Keywords

exponential decay rateexponential mean square stabilitystochastic theta methodstochastic differential delay equationsstochastic ordinary differential equationsthe split-step theta method

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stability and convergence of numerical methods for ordinary differential equations (65L20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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