Approximation of Upper Lyapunov Exponents of Bilinear Stochastic Differential Systems

DOI10.1137/0728061zbMath0738.65106OpenAlexW2080510909MaRDI QIDQ3977639

Denis Talay

Publication date: 25 June 1992

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

Full work available at URL: https://doi.org/10.1137/0728061

zbMATH Keywords

efficiencyLyapunov exponentperformancesstopping criteriondiscrete time processmultivariate stochastic differential equationStratonovitch form

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic stability in control theory (93E15) Ordinary differential equations and systems with randomness (34F05) Numerical methods for initial value problems involving ordinary differential equations (65L05) Probabilistic methods, stochastic differential equations (65C99)

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