Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations
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Publication:5386190
DOI10.1137/060658138zbMath1144.65005OpenAlexW2144375835MaRDI 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/
stabilitystochastic differential equationsbackward Euler methodLyapunov exponentone-sided Lipschitz conditionstochastic theta methodEuler-Maruyama methodlinear growth condition
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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