Stability of numerical methods for ordinary stochastic differential equations along Lyapunov-type and other functions with variable step sizes. (English) Zbl 1080.60061
The paper studies the stability of discrete time numerical methods for the solution of stochastic differential equations. By using the class of balanced implicit methods various forms of stability for different nonlinear dynamics are investigated.
Reviewer: Eckhard Platen (Broadway)
MSC:
| 60H10 | Stochastic ordinary differential equations (aspects of stochastic analysis) |
| 65C20 | Probabilistic models, generic numerical methods in probability and statistics |
| 65C30 | Numerical solutions to stochastic differential and integral equations |
