On the boundedness of asymptotic stability regions for the stochastic theta method
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Publication:1397974
DOI10.1023/A:1023659813269zbMath1026.65004MaRDI QIDQ1397974
Alan Bryden, Desmond J. Higham
Publication date: 6 August 2003
Published in: BIT (Search for Journal in Brave)
stochastic differential equationmultiplicative noisealmost sure stabilityEuler-Maruyama methodasymptotic stability regionsemi-implicit theta methodsemi-implicit theta Milstein method
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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