Asymptotic moment boundedness of the stochastic theta method and its application for stochastic differential equations

DOI10.1186/1687-1847-2014-310zbMath1346.60089OpenAlexW2042512114WikidataQ59323561 ScholiaQ59323561MaRDI QIDQ307360

Liangjian Hu, Qinwei Qiu, Wei Liu

Publication date: 1 September 2016

Published in: Advances in Difference Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/1687-1847-2014-310

zbMATH Keywords

stochastic differential equationsasymptotic moment boundednessnumerical stationary distributionstochastic theta method

Mathematics Subject Classification ID

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)

Related Items

The stochastic \(\theta\) method for stationary distribution of stochastic differential equations with Markovian switching ⋮ Stationary distribution of the stochastic theta method for nonlinear stochastic differential equations ⋮ P-moment stability under small Gauss type random excitation of stochastic system

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