Almost sure and moment exponential stability in the numerical simulation of stochastic differential equations

SIAM Journal on Numerical Analysis

Volumn 45, Issue 2, 2007, Pages 592-609

  Higham, Desmond J ^a   Mao, Xuerong ^a   Yuan, Chenggui ^b  

^a UNIVERSITY OF STRATHCLYDE   (United Kingdom)

^b SWANSEA UNIVERSITY   (United Kingdom)

Author keywords

Backward Euler; Euler Maruyama; Implicit; Linear growth condition; Lyapunov exponent; One sided Lipschitz condition; Stochastic theta method

Indexed keywords

COMPUTER SIMULATION; DIFFERENTIAL EQUATIONS; LYAPUNOV FUNCTIONS; RANDOM PROCESSES;

BACKWARD EULER; EULER-MARUYAMA; LINEAR GROWTH CONDITION; LYAPUNOV EXPONENT; ONE-SIDED LIPSCHITZ CONDITION; STOCHASTIC THETA METHOD;

ASYMPTOTIC STABILITY;

EID: 42649132845     PISSN: 00361429     EISSN: None     Source Type: Journal    
DOI: 10.1137/060658138     Document Type: Article

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