Corrigendum: On the use of a discrete form of the Itô formula in the article ‘Almost sure asymptotic stability analysis of the -Maruyama method applied to a test system with stabilising and destabilising stochastic perturbations’

DOI10.1112/S146115701300017XzbMath1297.60044OpenAlexW2095463750MaRDI QIDQ5169607

Cónall Kelly, Gregory Berkolaiko, Evelyn Buckwar, Aleksandra Rodkina

Publication date: 11 July 2014

Published in: LMS Journal of Computation and Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1112/s146115701300017x

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) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

A Stable Numerical Scheme for Stochastic Differential Equations with Multiplicative Noise

Cites Work

• Non-normal drift structures and linear stability analysis of numerical methods for systems of stochastic differential equations
• Towards a Systematic Linear Stability Analysis of Numerical Methods for Systems of Stochastic Differential Equations
• Almost sure asymptotic stability analysis of the θ-Maruyama method applied to a test system with stabilising and destabilising stochastic perturbations

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