Exponential stability of modified truncated EM method for stochastic differential equations

Guangqiang Lan; Fang Xia

Exponential stability of modified truncated EM method for stochastic differential equations

Probability 2017-04-12 v1

Authors: Guangqiang Lan , Fang Xia

Abstract

Exponential stability of modified truncated Euler-Maruyama method for stochastic differential equations are investigated in this paper. Sufficient conditions for the $p$ -th moment and almost sure exponential stability of the given numerical method are presented. An example is provided to support our conclusions.

Keywords

stability analysis stochastic differential equations delay differential equations

Cite

@article{arxiv.1704.03158,
  title  = {Exponential stability of modified truncated EM method for stochastic differential equations},
  author = {Guangqiang Lan and Fang Xia},
  journal= {arXiv preprint arXiv:1704.03158},
  year   = {2017}
}

Comments

11 pages

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