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Asymptotical mean square stability of an equilibrium point of some linear numerical solutions with multiplicative noise

 

作者: Henri Schurz,  

 

期刊: Stochastic Analysis and Applications  （Taylor Available online 1996）
卷期: Volume 14, issue 3  

页码: 313-353

 

ISSN:0736-2994

 

年代: 1996

 

DOI:10.1080/07362999608809442

 

出版商: Marcel Dekker, Inc.

 

关键词: Stochastic Differential Equations;Numerical Methods, Stability

 

数据来源: Taylor

 

摘要:

Several results concerning asymptotical mean square stability of equilibria of specific linear stochastic systems are presented and proven. These discrete time systems can be interpreted as numerical solution of stochastic differential equations driven by Wiener noise. Effects of the presented mean square calculus are shown by the Kubo oscillator perturbed by white noise and a simplified system of noisy Brusselator equations

 

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