Almost Sure Exponential Stability in the Numerical Simulation of Stochastic Differential Equations

DOI10.1137/140966198zbMath1327.65016OpenAlexW2003192055MaRDI QIDQ2946211

Xuerong Mao

Publication date: 16 September 2015

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://strathprints.strath.ac.uk/50887/

zbMATH Keywords

almost sure exponential stabilityLipschitz conditionmoment exponential stabilitystochastic theta methodlinear growth condition

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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