Stability in Distribution of Numerical Solutions for Stochastic Differential Equations

Authors: Chenggui Yuan ^a; Xuerong Mao ^b

Affiliations:	^a Department of Engineering, University of Cambridge, Cambridge, Singapore, UK
	^b Department of Statistics and Modelling Science, University of Strathclyde, Glasgow, Singapore, UK

DOI: 10.1081/SAP-200026423

Publication Frequency: 6 issues per year

Published in: journal

Stochastic Analysis and Applications, Volume 22, Issue 5 January 2005 , pages 1133 - 1150

Subjects: Statistics & Probability; Stochastic Models & Processes;

Formats available: HTML (English) : PDF (English)

Article Requests: Order Reprints : Request Permissions

Single Article Purchase: US$37.00 - buy now buy now

add to cart

[ show other buying options ]

Sign In
Online Sample

View Article:

View Article (PDF)

View Article (HTML)

Abstract

The numerical methods on stochastic differential equations (SDEs) have been well established. There are several papers that study the numerical stability of SDEs with respect to sample paths or moments. In this paper, we study the stability in distribution of numerical solution of SDEs.

Keywords: Brownian motion; Euler-Maruyama method; Lipschitz condition; Stability in distribution

Mathematics Subject Classification: Primary 60H10; Secondary 37A50

view references (26)

Bookmark with:

More bookmarks

informaworld

About this Journal

General Information

Stability in Distribution of Numerical Solutions for Stochastic Differential Equations

Abstract