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 (https://doi.org/10.1023/A:1023659813269)

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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.

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• Item metadata

  Item type:	Article
  ID code:	169
  Dates:	Date Event March 2003 Published
  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:	18 Apr 2024 00:11
  URI:	https://strathprints.strath.ac.uk/id/eprint/169