Mean square stability of stochastic theta method for stochastic differential equations driven by fractional Brownian motion
DOI10.1016/j.cam.2022.114804zbMath1499.60193arXiv2109.09009OpenAlexW4295242597WikidataQ115359641 ScholiaQ115359641MaRDI QIDQ2087506
Xiong Wang, Min Li, Yaozhong Hu, Cheng-Ming Huang
Publication date: 21 October 2022
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2109.09009
law of large numbersconfluent hypergeometric functionsmean square stabilitystochastic theta methodGaussian correlation inequalitystochastic differential equations driven by fractional Brownian motion
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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