297
Views
16
CrossRef citations to date
0
Altmetric
Articles

Preserving exponential mean square stability and decay rates in two classes of theta approximations of stochastic differential equations

, &
Pages 1091-1111 | Received 30 Oct 2013, Accepted 06 Feb 2014, Published online: 13 Mar 2014

References

  • C.T.H.Baker and E.Buckwar, Numerical analysis of explicit one-step methods for stochastic delay differential equations, LMS J. Comput. Math.3 (2000), pp. 315–335.
  • C.T.H.Baker and E.Buckwar, Exponential stability in p-th mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations, J. Comput. Appl. Math.184 (2005), pp. 404–427.
  • A.Bryden and D.J.Higham, On the boundedness of asymptotic stability regions for the stochastic theta method, BIT43 (2003), pp. 1–6.
  • E.Buckwar, R.Horvath-Bokor, and R.Winkler, Asymptotic mean-square stability of two-step methods for stochastic ordinary differential equations, BIT46 (2006), pp. 261–282.
  • K.Burrage, P.M.Burrage, and T.Tian, Numerical methods for strong solutions of stochastic differential equations: an overview, Proc. R. Soc. Lond. Ser. A Math. Phys. Eng. Sci.460 (2004), pp. 373–402.
  • X.Ding, Q.Ma, and L.Zhang, Convergence and stability of the split-step θ-method for stochastic differential equations, Comput. Math. Appl.60 (2010), pp. 1310–1321.
  • E.Hairer and G.Wanner, Solving ordinary differential equations, in II: Stiff and Differential-Algebraic Problems, 2nd ed., Springer Series in Computational Mathematics, Vol. 14, Springer–Verlag, Berlin, 1996.
  • D.J.Higham, Mean-square and asymptotic stability of the stochastic theta method, SIAM J. Numer. Anal.38 (2000), pp. 753–769.
  • D.J.Higham, X.Mao, and A.M.Stuart, Strong convergence of Euler-type methods for nonlinear stochastic differential equations, SIAM J. Numer. Anal.40 (2002), pp. 1041–1063.
  • D.J.Higham, X.Mao, and A.M.Stuart, Exponential mean-square stability of numerical solutions to stochastic differential equations, LMS J. Comput. Math.6 (2003), pp. 297–313.
  • D.J.Higham, X.Mao, and C.Yuan, Almost sure and moment exponential stability in the numerial simulation of stochastic differential equations, SIAM J. Numer. Anal.45 (2007), pp. 592–609.
  • D.J.Higham, X.Mao, and L.Szpruch, Convergence, non-negativity and stability of a new milstein scheme with applications to finance, Arxiv preprint (2012). Available at arXiv:1204.1647.
  • C.Huang, Exponential mean square stability of numerical methods for systems of stochastic differential equations, J. Comput. Appl. Math.236 (2012), pp. 4016–4026.
  • C.Huang, Mean square stability and dissipativity of two classes of theta methods for systems of stochastic delay differential equations, J. Comput. Appl. Math. (2013). Available at http://dx.doi.org/10.1016/j.cam.2013.03.038.
  • P.E.Kloeden and E.Platen, Numerical Solution of Stochastic Differential Equations, Applications of Mathematics (New York), Vol. 23, Springer–Verlag, Berlin, 1992.
  • U.Küchler and E.Platen, Strong discrete time approximation of stochastic differential equations with time delay, Math. Comput. Simul.54 (2000), pp. 189–205.
  • M.Liu, W.Cao, and Z.Fan, Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation, J. Comput. Appl. Math.170 (2004), pp. 255–268.
  • X.Mao, Stochastic Differential Equations and their Applications, Horwood Publishing Series in Mathematics & Applications, Horwood Publishing Limited, Chichester, 1997.
  • X.Mao, Exponential stability of equidistant Euler-Maruyama approximations of stochastic differential delay equations, J. Comput. Appl. Math.200 (2007), pp. 297–316.
  • X.Mao and S.Sabanis, Numerical solutions of stochastic differential delay equations under local Lipschitz condition, J. Comput. Appl. Math.151 (2003), pp. 215–227.
  • X.Mao and L.Szpruch, Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients, J. Comput. Appl. Math.238(15) (2013), pp. 14–28.
  • G.N.Milstein and M.V.Tretyakov, Stochastic Numerics for Mathematical Physics, Scientific Computation, Springer–Verlag, Berlin, 2004.
  • E.Platen, An introduction to numerical methods for stochastic differential equations, Acta Numer8 (1999), pp. 197–246.
  • X.Qu and C.Huang, Delay-dependent exponential stability of the backward Euler method for nonlinear stochastic delay differential equations, Int. J. Comput. Math.89 (2012), pp. 1039–1050.
  • Y.Saito and T.Mitsui, T-stability of numerical scheme for stochastic differential equations, in Contributions in Numerical Mathematics, World Sci. Ser. Appl. Anal., Vol. 2, World Scientific, River Edge, NJ, 1993, pp. 333–344.
  • Y.Saito and T.Mitsui, Stability analysis of numerical schemes for stochastic differential equations, SIAM J. Numer. Anal.33 (1996), pp. 2254–2267.
  • H.Schurz, On moment-dissipative stochastic dynamical systems, Dynam. Syst. Appl.10 (2001), pp. 11–44.
  • X.Wang and S.Gan, The improved split-step backward Euler method for stochastic differential delay equations, Int. J. Comput. Math.88 (2011), pp. 2359–2378.
  • F.Wu, X.Mao, and P.E.Kloeden, Discrete Razumikhin-type technique and stability of the Euler–Maruyama method to stochastic functional differential equations, Discrete Contin. Dyn. S.-A33(2) (2013), pp. 885–903.
  • F.Wu, X.Mao, and L.Szpruch, Almost sure exponential stability of numerical solutions for stochastic delay differential equations, Numer. Math.115 (2010), pp. 681–697.
  • X.Zong and F.Wu, Choice of θ and mean-square exponential stability in stochastic theta method of stochastic differential equations, J. Comput. Appl. Math.255(1) (2014), pp. 837–847.

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:

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:

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.