Almost sure exponential stability of backward Euler-Maruyama discretizations for hybrid stochastic differential equations
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Publication:609207
DOI10.1016/j.cam.2010.08.006zbMath1227.65012OpenAlexW2110573897MaRDI QIDQ609207
Publication date: 30 November 2010
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.2010.08.006
Brownian motionstochastic differential equationsMarkov chainalmost sure exponential stabilitybackward Euler-Maruyama method
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) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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Cites Work
- Higher-order implicit strong numerical schemes for stochastic differential equations
- Almost sure and moment exponential stability of Euler-Maruyama discretizations for hybrid stochastic differential equations
- Mean-square stability properties of an adaptive time-stepping SDE solver
- Asymptotic mean-square stability of two-step methods for stochastic ordinary differential equations
- Exponential stability in \(p\)-th mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations
- Mean-Square and Asymptotic Stability of the Stochastic Theta Method
- Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
- Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
- Stahle ROW-Type Weak Scheme for Stochastic Differential Equations
- Robustness of exponential stability of stochastic differential delay equations
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- Stochastic Differential Equations with Markovian Switching
- Some remarks on the duality of continuous time markov chains
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