Almost sure asymptotic stability analysis of the theta-Maruyama method applied to a test system with stabilising and destabilising stochastic perturbations

作者：Berkolaiko Gregory^*; Buckwar Evelyn; Kelly Conall; Rodkina Alexandra

来源：LMS Journal of Computation and Mathematics, 2012, 15: 71-83.

DOI：10.1112/S1461157012000010

We perform an almost sure linear stability analysis of the theta-Maruyama method, selecting as our test equation a two-dimensional system of Ito differential equations with diagonal drift coefficient and two independent stochastic perturbations which capture the stabilising and destabilising roles of feedback geometry in the almost sure asymptotic stability of the equilibrium solution. For small values of the constant step-size parameter, we derive close-to-sharp conditions for the almost sure asymptotic stability and instability of the equilibrium solution of the discretisation that match those of the original test system. Our investigation demonstrates the use of a discrete form of the Ito formula in the context of an almost sure linear stability analysis.

• 出版日期2012