Bryden, A. and Higham, D.J. (2003) On the boundedness of asymptotic stability regions for the stochastic theta method. BIT Numerical Mathematics, 43 (1). pp. 17. ISSN 00063835

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Official URL: http://dx.doi.org/10.1023/A:1023659813269
Abstract
The stochastic theta method gives a computational procedure for simulating ordinary stochastic differential equations. The method involves a free parameter, THgr. Here, we characterise the precise value of THgr beyond which the region of linear asymptotic stability of the method becomes unbounded. The cutoff point is seen to differ from that in the deterministic case. Computations that suggest further results are also given.
Item type:  Article 

ID code:  169 
Keywords:  almost sure stability, EulerMaruyama, multiplicative noise, stochastic equations, differential equations, Mathematics 
Subjects:  Science > Mathematics 
Department:  Faculty of Science > Mathematics and Statistics Faculty of Science > Mathematics and Statistics > Mathematics 
Depositing user:  Ms Sarah Scott 
Date Deposited:  21 Feb 2006 
Last modified:  12 Dec 2015 20:59 
Related URLs:  
URI:  http://strathprints.strath.ac.uk/id/eprint/169 
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