Exponential mean square stability of numerical methods for systems of stochastic differential equations

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DOI10.1016/j.cam.2012.03.005zbMath1251.65003OpenAlexW1983176089MaRDI QIDQ433947

Cheng-Ming Huang

Publication date: 9 July 2012

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2012.03.005

zbMATH Keywords

exponential stability Poisson process mean square stability theta method systems of linear Itô stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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