On the boundedness of asymptotic stability regions for the stochastic theta method (Q1397974)
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scientific article; zbMATH DE number 1960107
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the boundedness of asymptotic stability regions for the stochastic theta method |
scientific article; zbMATH DE number 1960107 |
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On the boundedness of asymptotic stability regions for the stochastic theta method (English)
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6 August 2003
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This paper characterizes the asymptotic stability region of the semi-implicit theta method for an Itô stochastic differential equation. By some interesting analysis it is shown that the asymptotic stability region becomes unbounded when \(\Theta\geq 0.4390\), which is different to the deterministic case of \(\Theta\geq 0.5\). This approach is extended to the semi-implicit theta Milstein method.
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almost sure stability
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Euler-Maruyama method
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multiplicative noise
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stochastic differential equation
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asymptotic stability region
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semi-implicit theta method
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semi-implicit theta Milstein method
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