Almost sure asymptotic stability and convergence of stochastic Theta methods applied to systems of linear SDEs in

DOI10.1515/ROSE.2011.007zbMath1268.65009OpenAlexW2078767973MaRDI QIDQ4923214

Henri Schurz

Publication date: 6 June 2013

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose.2011.007

zbMATH Keywords

linear systemsDoob-Meyer decompositionasymptotic stabilitystochastic differential equationsalmost sure convergencealmost sure stabilitylocal martingalesstochastic difference equationsstochastic theta methodssquare-integrable martingalessemi-martingale convergence theorems

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) Generation, random and stochastic difference and differential equations (37H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for difference equations (65Q10)

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