Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations
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Publication:5386190
DOI10.1137/060658138zbMath1144.65005MaRDI QIDQ5386190
Chenggui Yuan, Xuerong Mao, Desmond J. Higham
Publication date: 22 April 2008
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://strathprints.strath.ac.uk/4547/
stability; stochastic differential equations; backward Euler method; Lyapunov exponent; one-sided Lipschitz condition; stochastic theta method; Euler-Maruyama method; linear growth condition
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
65L20: Stability and convergence of numerical methods for ordinary differential equations
34F05: Ordinary differential equations and systems with randomness
65L06: Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
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