Mean-square contractivity of stochastic \(\vartheta\)-methods
From MaRDI portal
Publication:2656022
DOI10.1016/J.CNSNS.2020.105671zbMath1464.65009arXiv2009.04941OpenAlexW3084024866MaRDI QIDQ2656022
Raffaele D'Ambrosio, Stefano Di Giovacchino
Publication date: 10 March 2021
Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2009.04941
Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items (8)
Long-Term Analysis of Stochastic Hamiltonian Systems Under Time Discretizations ⋮ Numerical preservation issues in stochastic dynamical systems by \(\vartheta\)-methods ⋮ On the conservative character of discretizations to Itô-Hamiltonian systems with small noise ⋮ Numerical conservation issues for the stochastic Korteweg-de Vries equation ⋮ A long term analysis of stochastic theta methods for mean reverting linear process with jumps ⋮ How do Monte Carlo estimates affect stochastic geometric numerical integration? ⋮ Numerical conservation issues for jump Pearson diffusions ⋮ Perturbative analysis of stochastic Hamiltonian problems under time discretizations
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Mean-square random dynamical systems
- On the numerical discretisation of stochastic oscillators
- A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods
- On preserving long-time features of a linear stochastic oscillator
- Synchronization of dissipative dynamical systems driven by non-Gaussian Lévy noises
- Higher-order implicit strong numerical schemes for stochastic differential equations
- Numerical simulation of a linear stochastic oscillator with additive noise
- Estimation of the Lipschitz constant of a function
- Drift-preserving numerical integrators for stochastic Hamiltonian systems
- Stability of the drift-implicit and double-implicit Milstein schemes for nonlinear SDEs
- Stabilization for hybrid stochastic systems by aperiodically intermittent control
- Finite-time sliding mode control of switched systems with one-sided Lipschitz nonlinearity
- Nonlinear stability issues for stochastic Runge-Kutta methods
- Mean-square dissipativity of several numerical methods for stochastic differential equations with jumps
- Numerical methods for nonlinear stochastic differential equations with jumps
- An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
- Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
- THE NUMERICAL STABILITY OF STOCHASTIC ORDINARY DIFFERENTIAL EQUATIONS WITH ADDITIVE NOISE
- Mean-Square and Asymptotic Stability of the Stochastic Theta Method
- Financial Modelling with Jump Processes
- Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
- A note on existence of global solutions and invariant measures for jump SDEs with locally one-sided Lipschitz drift
- The persistence of synchronization under environmental noise
This page was built for publication: Mean-square contractivity of stochastic \(\vartheta\)-methods
