Stability in Distribution of Numerical Solutions for Stochastic Differential Equations
From MaRDI portal
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Discrete-time Markov processes on general state spaces (60J05) Numerical solutions to stochastic differential and integral equations (65C30) Asymptotic stability in control theory (93D20)
Recommendations
- Some issues in discrete approximate solution for stochastic differential equations
- scientific article; zbMATH DE number 1225870
- Stability of numerical methods for solving stochastic differential equations
- scientific article; zbMATH DE number 956579
- Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations
Cites work
- \(A\)-stability of Runge-Kutta methods for systems with additive noise
- Approximation of Upper Lyapunov Exponents of Bilinear Stochastic Differential Systems
- Higher-order implicit strong numerical schemes for stochastic differential equations
- scientific article; zbMATH DE number 4028851 (Why is no real title available?)
- scientific article; zbMATH DE number 3780265 (Why is no real title available?)
- scientific article; zbMATH DE number 50111 (Why is no real title available?)
- scientific article; zbMATH DE number 3505982 (Why is no real title available?)
- scientific article; zbMATH DE number 625166 (Why is no real title available?)
- scientific article; zbMATH DE number 1099342 (Why is no real title available?)
- Introduction to the numerical analysis of stochastic delay differential equations
- Mean-Square and Asymptotic Stability of the Stochastic Theta Method
- Random differential inequalities
- Simulation studies on time discrete diffusion approximations
- Stability Analysis of Numerical Schemes for Stochastic Differential Equations
- The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
- The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
Cited in
(43)- Some issues in discrete approximate solution for stochastic differential equations
- Numerical approximation of random periodic solutions of stochastic differential equations
- Stability of numerical methods for solving stochastic differential equations
- Stability in distribution of numerical solution of neutral stochastic functional differential equations with infinite delay
- Ergodic numerical approximation to periodic measures of stochastic differential equations
- The backward Euler-Maruyama method for invariant measures of stochastic differential equations with super-linear coefficients
- A note on the asymptotic stability of the semi-discrete method for stochastic differential equations
- Numerical preservation issues in stochastic dynamical systems by -methods
- The stochastic \(\theta\) method for stationary distribution of stochastic differential equations with Markovian switching
- Stability of numerical solution to pantograph stochastic functional differential equations
- Stationary distribution of the stochastic theta method for nonlinear stochastic differential equations
- Analysis of a micro-macro acceleration method with minimum relative entropy moment matching
- Stochastic analysis of in-host HCV dynamics through budding and bursting process
- Study of micro-macro acceleration schemes for linear slow-fast stochastic differential equations with additive noise
- Mean square polynomial stability of numerical solutions to a class of stochastic differential equations
- Invariant measures of the Milstein method for stochastic differential equations with commutative noise
- Stability of numerical methods for ordinary stochastic differential equations along Lyapunov-type and other functions with variable step sizes
- Weak convergence of functional stochastic differential equations with variable delays
- Asymptotic moment boundedness of the numerical solutions of stochastic differential equations
- The split-step Euler Maruyama method preserves asymptotic stability for simulated annealing problems
- Asymptotic moment boundedness of the stochastic theta method and its application for stochastic differential equations
- THE NUMERICAL STABILITY OF STOCHASTIC ORDINARY DIFFERENTIAL EQUATIONS WITH ADDITIVE NOISE
- Numerical stability of the method of Brownian configuration fields
- scientific article; zbMATH DE number 1225864 (Why is no real title available?)
- scientific article; zbMATH DE number 1301891 (Why is no real title available?)
- Preservation of probabilistic laws through Euler methods for ornstein-uhlenbeck process
- Numerical stationary distribution and its convergence for nonlinear stochastic differential equations
- Investigation on stability of numerical schemes of stochastic differential equations: a survey
- scientific article; zbMATH DE number 1380704 (Why is no real title available?)
- scientific article; zbMATH DE number 834475 (Why is no real title available?)
- Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations
- scientific article; zbMATH DE number 956579 (Why is no real title available?)
- An optimization‐based stochastic model of the two‐compartment pharmacokinetics
- Stationary distribution of the Milstein scheme for stochastic differential delay equations with first-order convergence
- Strong convergence and stationary distribution of an explicit scheme for the Wright-Fisher model
- Invariant measure of the backward Euler method for stochastic differential equations driven by α \alpha ‐stable process
- Numerical solutions of neutral stochastic functional differential equations with Markovian switching
- Strong convergence in the infinite horizon of numerical methods for stochastic differential equations
- Ergodic semi-implicit approximations to periodic measures of stochastic differential equations with locally Lipschitz drifts -- error analysis in Wasserstein distance
- Uniform-in-time estimates for mean-field type SDEs and applications
- Approximation of invariant measures of stochastic evolution processes: time discretization
- On numerical density approximations of solutions of SDEs with unbounded coefficients
- Stability in distribution of neutral stochastic functional differential equations
This page was built for publication: Stability in Distribution of Numerical Solutions for Stochastic Differential Equations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3158173)
