Abstract
The stochastic theta method gives a computational procedure for simulating ordinary stochastic differential equations. The method involves a free parameter, Θ. Here, we characterise the precise value of Θ 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.
Original language | English |
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Pages (from-to) | 1-7 |
Number of pages | 7 |
Journal | Bit numerical mathematics |
Volume | 43 |
Issue number | 1 |
DOIs | |
Publication status | Published - Mar 2003 |
Keywords / Materials (for Non-textual outputs)
- almost sure stability
- Euler-Maruyama
- multiplicative noise
- stochastic equations
- differential equations