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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Official URL: http://dx/doi.org/10.1016/j.cam2007.01.003
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 |
| Subjects: | Science > Mathematics > Probabilities. Mathematical statistics Science > Mathematics |
| Department: | Faculty of Science > Mathematics and Statistics |
| Related URLs: | |
| Depositing user: | Mrs Carolynne Westwood |
| Date Deposited: | 11 Jan 2010 14:01 |
| Last modified: | 19 Mar 2012 03:42 |
| URI: | http://strathprints.strath.ac.uk/id/eprint/13779 |
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