Almost sure asymptotic stability analysis of the -Maruyama method applied to a test system with stabilising and destabilising stochastic perturbations
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Publication:5169628
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) Stochastic stability in control theory (93E15)
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Cites work
- A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods
- A DISCRETE-TIME ITÔ'S FORMULA
- Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations
- scientific article; zbMATH DE number 1099342 (Why is no real title available?)
- Mean-Square and Asymptotic Stability of the Stochastic Theta Method
- Products of Random Matrices
- Random difference equations and renewal theory for products of random matrices
- Solving ordinary differential equations. II: Stiff and differential-algebraic problems.
- Stabilization and Destabilization of Nonlinear Differential Equations by Noise
- Statistics of Sieves and Square-Free Numbers
- Towards a systematic linear stability analysis of numerical methods for systems of stochastic differential equations
Cited in
(16)- Numerical preservation issues in stochastic dynamical systems by -methods
- Stationary distribution of the stochastic theta method for nonlinear stochastic differential equations
- Asymptotic moment boundedness of the stochastic theta method and its application for stochastic differential equations
- Towards a systematic linear stability analysis of numerical methods for systems of stochastic differential equations
- Almost sure instability of the equilibrium solution of a Milstein-type stochastic difference equation
- Application of a discrete Itô formula to determine stability (instability) of the equilibrium of a scalar linear stochastic difference equation
- Numerical stationary distribution and its convergence for nonlinear stochastic differential equations
- Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients
- Almost sure asymptotic stability and convergence of stochastic theta methods applied to systems of linear SDEs in R^d
- A stable numerical scheme for stochastic differential equations with multiplicative noise
- Instability and stability of solutions of systems of nonlinear stochastic difference equations with diagonal noise
- The partially truncated Euler-Maruyama method and its stability and boundedness
- Corrigendum: On the use of a discrete form of the Itô formula in the article ``Almost sure asymptotic stability analysis of the \(\theta\)-Maruyama method applied to a test system with stabilising and destabilising~stochastic~perturbations
- On target-oriented control of Hénon and Lozi maps
- Equivalence of stability among stochastic differential equations, stochastic differential delay equations, and their corresponding Euler-Maruyama methods
- Sharp estimates for Lyapunov exponents of Milstein approximation of stochastic differential systems
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