Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
نویسندگان
چکیده
منابع مشابه
Exponential Mean-square Stability of Numerical Solutions to Stochastic Differential Equations
Positive results are proved here about the ability of numerical simulations to reproduce the exponentialmean-square stability of stochastic differential equations (SDEs). The first set of results applies under finite-time convergence conditions on the numerical method. Under these conditions, the exponential mean-square stability of the SDE and that of the method (for sufficiently small step si...
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ژورنال
عنوان ژورنال: LMS Journal of Computation and Mathematics
سال: 2003
ISSN: 1461-1570
DOI: 10.1112/s1461157000000462