Abstract
Positive results are proved here about the ability of numerical simulations to reproduce the exponential mean-square stability of stochastic differential equations (SDEs). The first set of results applies under finite-time convergence conditions on the numerical method. Under these conditions, the exponential mean-square stability of the SDE and that of the method (for sufficiently small step sizes) are shown to be equivalent, and the corresponding second-moment Lyapunov exponent bounds can be taken to be arbitrarily close. The required finite-time convergence conditions hold for the class of stochastic theta methods on globally Lipschitz problems. It is then shown that exponential mean-square stability for non-globally Lipschitz SDEs is not inherited, in general, by numerical methods. However, for a class of SDEs that satisfy a one-sided Lipschitz condition, positive results are obtained for two implicit methods. These results highlight the fact that for long-time simulation on nonlinear SDEs, the choice of numerical method can be crucial.
Original language | English |
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Pages (from-to) | 297-313 |
Number of pages | 17 |
Journal | LMS Journal of Computation and Mathematics |
Volume | 6 |
DOIs | |
Publication status | Published - 28 Nov 2003 |
Keywords / Materials (for Non-textual outputs)
- stochastic differential equations
- numerical simulations
- Lipschitz problems
- mean-square stability
- SDEs