Application of a discrete Itô formula to determine stability (instability) of the equilibrium of a scalar linear stochastic difference equation

Author:

Palmer Peter

Publisher

Elsevier BV

Subject

Computational Mathematics,Computational Theory and Mathematics,Modelling and Simulation

Reference9 articles.

1. Stochastic Differential Equations and Applications;Mao,1997

2. Numerical Solution of Stochastic Differential Equations;Kloeden,1992

3. Non-exponential stability and decay rates in non-linear stochastic difference equations with unbounded noise;Appleby;Stochastics: An International Journal of Probability and Stochastic Processes,2009

4. G. Berkolaiko, E. Buckwar, C. Kelly, A. Rodkina, Almost sure asymptotic stability of the θ-Maruyama method applied to a test system with stabilising and destabilising stochastic perturbations, London Mathematical Society Journal of Computation and Mathematics (2012) (in press).

5. Martingale methods in pricing derivatives;Fujita;The Hitotsubashi Review,2001

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