Application of a discrete Itô formula to determine stability (instability) of the equilibrium of a scalar linear stochastic difference equation

DOI10.1016/J.CAMWA.2012.03.012zbMath1268.60092OpenAlexW2011364555MaRDI QIDQ356152

Peter Palmer

Publication date: 25 July 2013

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2012.03.012

zbMATH Keywords

random sequencestochastic difference equationsa.s. asymptotic stabilitydiscrete Itô formula multiplicative noise

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Stability theory for difference equations (39A30) Stochastic difference equations (39A50)

Related Items (3)

Almost sure instability of the equilibrium solution of a Milstein-type stochastic difference equation ⋮ Stability of a stochastic discrete SIS epidemic model with general nonlinear incidence rate ⋮ Stability of a stochastic discrete mutualism system

Cites Work

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• Higher-order implicit strong numerical schemes for stochastic differential equations
• Non-exponential stability and decay rates in nonlinear stochastic difference equations with unbounded noise
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Almost sure asymptotic stability analysis of the θ-Maruyama method applied to a test system with stabilising and destabilising stochastic perturbations
• Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations

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