Convergence of Monte Carlo simulations involving the mean-reverting square root process [PDF]
, 2005 The mean-reverting square root process is a stochastic differential equation (SDE) that has found considerable use as a model for volatility, interest rate, and other financial quantities.
Mao, X., Mao, Xuerong, Higham, D.J.
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Almost sure exponential stability of backward Euler–Maruyama discretizations for hybrid stochastic differential equations [PDF]
, 2011 This is a continuation of the first author's earlier paper [1] jointly with Pang and Deng, in which the authors established some sufficient conditions under which the Euler-Maruyama (EM) method can reproduce the almost sure exponential stability of the ...
Shen, Yi, Mao, Xuerong, Gray, Alison
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Almost sure and moment exponential stability in the numerical simulation of stochastic differential equations [PDF]
, 2007 Relatively little is known about the ability of numerical methods for stochastic differential equations (SDEs) to reproduce almost sure and small-moment stability.
Yuan, C. +4 more
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Mean-Square Stability of Uncertain Delayed Stochastic Systems Driven by G-Brownian Motion
Mathematics, 2023 This paper investigates the mean-square stability of uncertain time-delay stochastic systems driven by G-Brownian motion, which are commonly referred to as G-SDDEs.
Zhengqi Ma +3 more
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A Mean Square Stability Test for Markovian Jump Linear Systems
Trends in Computational and Applied Mathematics, 2008 This paper proposes a test for the mean square stability problem for discrete-time linear systems subject to random jumps in the parameters, described by an underlying finite-state Markov chain.
C. Nespoli, J.B.R. do Val
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Mean-square stability and convergence of compensated split-step θ-method for nonlinear jump diffusion systems [PDF]
Mathematics and Modeling in Finance, 2021 In this paper, the existence and uniqueness of the numerical solution of the Stochastic Differential Equations with Jumps(SDEwJs) under the one side Lipschitz conditions and polynomial growth conditions are presented.
Ali Soheili +2 more
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Mean square exponential stability of stochastic delay cellular neural networks
Electronic Journal of Qualitative Theory of Differential Equations, 2013 By constructing suitable Lyapunov functionals and combining with matrix inequality technique, a new simple sufficient condition is presented for the exponential stability of stochastic cellular neural networks with discrete delays. The condition contains
Yingxin Guo
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Mathematics, 2022 In this paper, quantitative mean square exponential stability and stabilization of Itô-type linear stochastic Markovian jump systems with Brownian and Poisson noises are investigated.
Gaizhen Chang +4 more
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Mathematics, 2022 In this paper, the mean-square strong stability and stabilization of discrete-time Markov jump systems are studied. Firstly, the definition of mean-square strong stability is given, and the necessary and sufficient conditions for mean-square strong ...
Zhiguo Yan, Fangxu Su
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Stability of numerical method for semi-linear stochastic pantograph differential equations
Journal of Inequalities and Applications, 2016 As a particular expression of stochastic delay differential equations, stochastic pantograph differential equations have been widely used in nonlinear dynamics, quantum mechanics, and electrodynamics.
Yu Zhang, Longsuo Li
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