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. 1-7. ISSN 0006-3835
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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, Euler-Maruyama, multiplicative noise, stochastic equations, differential equations, Mathematics |
| Subjects: | Science > Mathematics |
| Department: | Faculty of Science > Mathematics and Statistics Faculty of Science > Mathematics |
| Related URLs: | |
| Depositing user: | Ms Sarah Scott |
| Date Deposited: | 21 Feb 2006 |
| Last modified: | 08 Jan 2013 13:48 |
| URI: | http://strathprints.strath.ac.uk/id/eprint/169 |
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