Mean stability of a stochastic difference equation
نویسندگان
چکیده
منابع مشابه
A-stability and Stochastic Mean-square Stability∗
This note extends and interprets a result of Saito and Mitsui [SIAM J. Numer. Anal., 33 (1996), pp. 2254–2267] for a method of Milstein. The result concerns mean-square stability on a stochastic differential equation test problem with multiplicative noise. The numerical method reduces to the Theta Method on deterministic problems. Saito and Mitsui showed that the deterministic A-stability prope...
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ژورنال
عنوان ژورنال: Annales Polonici Mathematici
سال: 2008
ISSN: 0066-2216,1730-6272
DOI: 10.4064/ap93-1-3