Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations
Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations
Relatively little is known about the ability of numerical methods for stochastic differential equations (SDEs) to reproduce almost sure and smallāmoment stability. Here, we focus on these stability properties in the limit as the timestep tends to zero. Our analysis is motivated by an example of an exponentially almost surely ā¦