Almost sure asymptotic stability analysis of the θ-Maruyama method applied to a test system with stabilising and destabilising stochastic perturbations

DOI10.1112/S1461157012000010zbMath1294.60093MaRDI QIDQ5169628

Evelyn Buckwar, Cónall Kelly, Gregory Berkolaiko, Aleksandra Rodkina

Publication date: 11 July 2014

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

zbMATH Keywords

almost sure asymptotic stability; \(\theta\)-Maruyama method; Itō differential equation

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E15: Stochastic stability in control theory

34F05: Ordinary differential equations and systems with randomness

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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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, Corrigendum: On the use of a discrete form of the Itô formula in the article ‘Almost sure asymptotic stability analysis of the -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, Asymptotic moment boundedness of the stochastic theta method and its application for 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, The partially truncated Euler-Maruyama method and its stability and boundedness, Numerical preservation issues in stochastic dynamical systems by \(\vartheta\)-methods, Stationary distribution of the stochastic theta method for nonlinear stochastic differential equations

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