Exponential mean-square stability of the improved split-step theta methods for non-autonomous stochastic differential equations
DOI10.1007/s11425-016-0132-2zbMath1391.65025OpenAlexW2565040976WikidataQ115602261 ScholiaQ115602261MaRDI QIDQ1708061
Publication date: 4 April 2018
Published in: Science China. Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11425-016-0132-2
stochastic differential equationsmean-square stabilityexponential mean-square stabilityimproved split-step theta methods
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)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A Jump-Diffusion Model for Option Pricing
- Convergence, nonnegativity and stability of a new Milstein scheme with applications to finance
- Exponential mean square stability of numerical methods for systems of stochastic differential equations
- Almost sure exponential stability of the \(\theta\)-method for stochastic differential equations
- Split-step Milstein methods for multi-channel stiff stochastic differential systems
- The composite Milstein methods for the numerical solution of Itô stochastic differential equations
- Mean-square stability of numerical schemes for stochastic differential systems
- \(A\)-stability and stochastic mean-square stability
- A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise
- Theory of stochastic differential equations with jumps and applications.
- B-convergence of split-step one-leg theta methods for stochastic differential equations
- An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
- High‐order split‐step theta methods for non‐autonomous stochastic differential equations with non‐globally Lipschitz continuous coefficients
- Towards a Systematic Linear Stability Analysis of Numerical Methods for Systems of Stochastic Differential Equations
- Mean-Square and Asymptotic Stability of the Stochastic Theta Method
- Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
- Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
- The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients
- Stability Analysis of Numerical Schemes for Stochastic Differential Equations
