Mean-square and asymptotic stability of the stochastic theta method

SIAM Journal on Numerical Analysis

Volumn 38, Issue 3, 2001, Pages 753-769

  Higham, Desmond J ^a  

^a UNIVERSITY OF STRATHCLYDE   (United Kingdom)

Author keywords

Asymptotic stability; Mean square stability; Multiplicative noise; Random sequence; Theta method

Indexed keywords

EID: 0034436594     PISSN: 00361429     EISSN: None     Source Type: Journal    
DOI: 10.1137/S003614299834736X     Document Type: Article

References (21)

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