Wu, Fuke and Mao, Xuerong and Kloeden, Peter E. (2011) Almost sure exponential stability of the Euler–Maruyama approximations for stochastic functional differential equations. Random Operator and Stochastic Equations, 19 (2). pp. 105-216. ISSN 0926-6364
![[img]](http://strathprints.strath.ac.uk/style/images/fileicons/application_pdf.png) | PDF - Draft Version Download (198Kb) |
Official URL: http://dx.doi.org/10.1515/ROSE.2011.010
Abstract
By the continuous and discrete nonnegative semimartingale convergence theorems, this paper investigates conditions under which the Euler–Maruyama (EM) approximations of stochastic functional differential equations (SFDEs) can share the almost sure exponential stability of the exact solution. Moreover, for sufficiently small stepsize, the decay rate as measured by the Lyapunov exponent can be reproduced arbitrarily accurately.
| Item type: | Article |
|---|---|
| ID code: | 36923 |
| Keywords: | stochastic functional differential equations (SFDEs), nonnegative semimartingale convergence theorem, almost sure stability, EM method, Probabilities. Mathematical statistics |
| Subjects: | Science > Mathematics > Probabilities. Mathematical statistics |
| Department: | Faculty of Science > Mathematics and Statistics |
| Related URLs: | |
| Depositing user: | Pure Administrator |
| Date Deposited: | 20 Jan 2012 15:19 |
| Last modified: | 05 Oct 2012 06:07 |
| URI: | http://strathprints.strath.ac.uk/id/eprint/36923 |
Actions (login required)
| View Item |
Fulltext Downloads: |