Stability of Stochastic Differential Equations Under Discretization

DOI10.1080/07362990802405828MaRDI QIDQ3548439zbMATH OpenOpenAlexFDO

Authors A. Korzeniowski

Publication date 12 December 2008

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362990802405828

zbMATH Keywords

mean square stabilitySDE discretization

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

Recommendations

• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Some issues in discrete approximate solution for stochastic differential equations
• Stabilization of solutions of a system of linear stochastic difference equations
• scientific article; zbMATH DE number 774614
• The mean-square stability of numerical methods for solving stochastic differential equations

Cites work

• Lyapunov functionals construction for stochastic difference second-kind Volterra equations with continuous time
• Stability of a linear system with random disturbances of its parameters

Cited in

(7)

• Stabilization of company's income modeled by a system of discrete stochastic equations
• Basic concepts of numerical analysis of stochastic differential equations explained by balanced implicit theta methods
• scientific article; zbMATH DE number 5951575 (Why is no real title available?)
• The Invariance of Asymptotic Laws of Linear Stochastic Systems under Discretization
• L 1 -Stability of Stationary Discrete Shocks
• Almost sure asymptotic stability and convergence of stochastic theta methods applied to systems of linear SDEs in R^d
• Modeling hybrid network dynamics under random perturbations

This page was built for publication: Stability of Stochastic Differential Equations Under Discretization

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3548439)