On the Boundedness of Asymptotic Stability Regions for the Stochastic Theta Method |
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| Authors: | Alan Bryden Desmond J Higham |
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| Institution: | (1) Department of Mathematics, University of Strathclyde, Glasgow, G1 1XH, Scotland |
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| Abstract: | The stochastic theta method gives a computational procedure for simulating ordinary stochastic differential equations. The method involves a free parameter,  . Here, we characterise the precise value of beyond which the region of linear asymptotic stability of the method becomes unbounded. The cutoff point is seen to differ from that in the deterministic case. Computations that suggest further results are also given. |
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| Keywords: | Almost sure stability Euler– Maruyama Milstein multiplicative noise stochastic differential equation |
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