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On the boundedness of asymptotic stability regions for the stochastic theta method

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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    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 and Statistics > 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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