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Almost sure and moment exponential stability of Euler-Maruyama discretizations for hybrid stochastic differential equations

Pang, S. and Deng, F. and Mao, X. and , EPSRC (Funder) and , National Science Foundation of China (Funder) and , Jinan University of China (Funder) (2008) Almost sure and moment exponential stability of Euler-Maruyama discretizations for hybrid stochastic differential equations. Journal of Computational and Applied Mathematics, 213 (1). pp. 127-141. ISSN 0377-0427

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Abstract

Positive results are derived concerning the long time dynamics of numerical simulations of stochastic differential equation systems with Markovian switching. Euler-Maruyama discretizations are shown to capture almost sure and moment exponential stability for all sufficiently small timesteps under appropriate conditions.

Item type: Article
ID code: 13779
Keywords: brownian motion, euler-maruyama, markov chain, exponential stability, Probabilities. Mathematical statistics, Mathematics, Computational Mathematics, Applied Mathematics
Subjects: Science > Mathematics > Probabilities. Mathematical statistics
Science > Mathematics
Department: Faculty of Science > Mathematics and Statistics
Depositing user: Mrs Carolynne Westwood
Date Deposited: 11 Jan 2010 14:01
Last modified: 21 May 2015 10:54
URI: http://strathprints.strath.ac.uk/id/eprint/13779

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