Stability of numerical methods for ordinary stochastic differential equations along Lyapunov-type and other functions with variable step sizes

zbMath1080.60061MaRDI QIDQ2388708

Henri Schurz

Publication date: 19 September 2005

Published in: ETNA. Electronic Transactions on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/125564

zbMATH Keywords

balanced implicit method

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (4)

Convergence and Stability of an Explicit Method for Autonomous Time-Changed Stochastic Differential Equations with Super-Linear Coefficients ⋮ Basic Concepts of Numerical Analysis of Stochastic Differential Equations Explained by Balanced Implicit Theta Methods ⋮ Asymptotic moment boundedness of the numerical solutions of stochastic differential equations ⋮ Almost sure stability of the Euler-Maruyama method with random variable stepsize for stochastic differential equations

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