A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems (Q421807)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems |
scientific article; zbMATH DE number 6035216
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems |
scientific article; zbMATH DE number 6035216 |
Statements
A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems (English)
0 references
14 May 2012
0 references
This paper is concerned with mean-square stability analysis of linear systems of stochastic differential equations and develop efficient approaches for the manipulation of matrices involved in this analysis. The authors then study the effect of different noise structures on the \(\theta\)-Maruyama and \(\theta\)-Milstein methods.
0 references
asymptotic mean-square stability
0 references
\(\theta\)-Maruyama method
0 references
\(\theta\)-Milstein method
0 references
systems of stochastic differential equations
0 references
linear stability analysis
0 references
0 references
0 references
0 references
0 references
0 references
