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Publication Type
Journal Article
Author, Analytic
Kelly, C; Palmer, Peter; Rodkina, Alexandra
Author Affiliation, Ana.
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Article Title
Almost sure instability of the equilibrium Solution of a Milstein-type stochastic difference equation
Medium Designator
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Connective Phrase
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Journal Title
Computer & Mathematics with Applications
Translated Title
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Reprint Status
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Date of Publication
2013
Volume ID
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Issue ID
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Page(s)
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Language
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Connective Phrase
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Location/URL
http:; dx.doi.org/10/1016/j.camwa.2013.06.020
ISSN
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Notes
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Abstract
We derive a condition guaranteeing the almost sure instability of the equilibrium of a stochastic difference equation with a structure motivated by the Euler–Milstein discretisation of an Itô stochastic differential equation. Our analysis relies upon the convergence of non-negative martingale sequences coupled with a discrete form of the Itô formula and requires a distinct variant of this formula for each of the linear and nonlinear cases. The conditions developed in this article appear to be quite sharp.....
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