Advanced search
Publication Cover
Stochastic Analysis and Applications Volume 22, 2004 - Issue 5
Submit an article Journal homepage
258
Views
26
CrossRef citations to date
0
Altmetric
Original Articles

Stability in Distribution of Numerical Solutions for Stochastic Differential Equations

Chenggui Yuan Department of Engineering, University of Cambridge, Cambridge, Singapore, UK
&
Xuerong Mao Department of Statistics and Modelling Science, University of Strathclyde, Glasgow, Singapore, UK; Department of Statistics and Modelling Science, University of Strathclyde, Glasgow, Singapore, G1 1XH, UKCorrespondence[email protected]
Pages 1133-1150 | Published online: 01 Sep 2006
 
Sample our Mathematics & Statistics journals, sign in here to start your FREE access for 14 days

Abstract

The numerical methods on stochastic differential equations (SDEs) have been well established. There are several papers that study the numerical stability of SDEs with respect to sample paths or moments. In this paper, we study the stability in distribution of numerical solution of SDEs.

Mathematics Subject Classification:

Acknowledgments

C. Yuan would like to thank the financial support from the European Commission under the grant COLUMBUS, IST-2001-38314 while X. Mao would like to thank the financial support from the Royal Society (U.K.) and the London Mathematical Society. The second author is partially supported by the BBSRC and EPSRC.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related Research Data

Mean-Square and Asymptotic Stability of the Stochastic Theta Method
Source: Society for Industrial & Applied Mathematics (SIAM)
I. Convergence rate of the distribution function
Source: Springer Science and Business Media LLC
Simulation studies on time discrete diffusion approximations
Source: Elsevier BV
Approximation of upper Lyapunov exponents of bilinear stochastic differential systems
Source: HAL CCSD
Numerical approximation of random periodic solutions of stochastic differential equations
Source: Springer Science and Business Media LLC
The Law of the Euler Scheme for Stochastic Differential Equations : II. Convergence Rate of the Density
Source: Walter de Gruyter GmbH
A -stability of Runge-Kutta methods for systems with additive noise
Source: Springer Science and Business Media LLC
Applied Theory of Functional Differential Equations
Source: Springer Netherlands
Random Dynamical Systems
Source: Springer Berlin Heidelberg
Numerical Integration of Stochastic Differential Equations
Source: Springer Netherlands
Higher-order implicit strong numerical schemes for stochastic differential equations
Source: Springer Science and Business Media LLC
Stability Analysis of Numerical Schemes for Stochastic Differential Equations
Source: Society for Industrial & Applied Mathematics (SIAM)
Random Dynamical Systems
Source: Springer Berlin Heidelberg
Stochastic Differential Equations on Manifolds
Source: Cambridge University Press
Random Dynamical Systems
Source: Springer Berlin Heidelberg
Stationary distribution of the stochastic theta method for nonlinear stochastic differential equations
Source: Springer Science and Business Media LLC
Random Dynamical Systems
Source: Springer Berlin Heidelberg
Introduction to the numerical analysis of stochastic delay differential equations
Source: Elsevier Science B.V.
Radioactively driven colloids: A special case of anomalous diffusion
Source: AIP Publishing

Linking provided by 

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.