Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations
نویسندگان
چکیده
منابع مشابه
Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations
Relatively little is known about the ability of numerical methods for stochastic differential equations (SDEs) to reproduce almost sure and small-moment stability. Here, we focus on these stability properties in the limit as the timestep tends to zero. Our analysis is motivated by an example of an exponentially almost surely stable nonlinear SDE for which the Euler–Maruyama (EM) method fails to...
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ژورنال
عنوان ژورنال: SIAM Journal on Numerical Analysis
سال: 2007
ISSN: 0036-1429,1095-7170
DOI: 10.1137/060658138