Almost sure stability of the Euler-Maruyama method with random variable stepsize for stochastic differential equations

DOI10.1007/s11075-016-0162-3zbMath1371.65010OpenAlexW2413472538MaRDI QIDQ509650

Xuerong Mao, Wei Liu

Publication date: 17 February 2017

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11075-016-0162-3

zbMATH Keywords

numerical examplesstopping timevariable stepsizealmost sure stabilityEuler-Maruyamasemimartingale convergence theory

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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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