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

Tools

Pang, Sulin and Deng, Feiqi and Mao, Xuerong, EPSRC (Funder), National Science Foundation of China (Funder), 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 (https://doi.org/10.1016/j.cam.2007.01.003)

[thumbnail of strathprints013779.pdf]
Preview
 PDF. Filename: strathprints013779.pdf
Accepted Author Manuscript
Download (233kB)| Preview

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 momente xponential stability for all sufficiently small timesteps under appropriate conditions.

ORCID iDs

Pang, Sulin, Deng, Feiqi and Mao, Xuerong ORCID logoORCID: https://orcid.org/0000-0002-6768-9864;
CORE (COnnecting REpositories)