IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

Almost sure exponential stability of the θ-method for stochastic differential equations

Listed author(s):
  • Chen, Lin
  • Wu, Fuke
Registered author(s):

    Our previous work shows that the backward Euler–Maruyama (BEM) method may reproduce the almost sure stability of stochastic differential equations (SDEs) without the linear growth condition for the drift coefficient (see Wu et al. (2010)) but the Euler–Maruyama (EM) method cannot. It is well known that the θ-method is more general and may be specialized as the BEM and EM by choosing θ=1 and θ=0. Then it is very interesting to examine the interval in which the θ-method holds the same stability property as the BEM method. This paper shows that when θ∈(1/2,1], the θ-method may reproduce the almost sure stability of the exact solution of SDEs. Finally, a two-dimensional example is presented to illustrate this result.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL:
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 82 (2012)
    Issue (Month): 9 ()
    Pages: 1669-1676

    in new window

    Handle: RePEc:eee:stapro:v:82:y:2012:i:9:p:1669-1676
    DOI: 10.1016/j.spl.2012.05.004
    Contact details of provider: Web page:

    Order Information: Postal:

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:82:y:2012:i:9:p:1669-1676. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.