Mean square exponential stability of numerical methods for stochastic differential delay equations
Numerical Analysis
2023-06-22 v1 Numerical Analysis
Probability
Abstract
Mean square exponential stability of -EM and modified truncated Euler-Maruyama (MTEM) methods for stochastic differential delay equations (SDDEs) are investigated in this paper. We present new criterion of mean square exponential stability of the -EM and MTEM methods for SDDEs, which are different from most existing results under Khasminskii-type conditions. Two examples are provided to support our conclusions.
Cite
@article{arxiv.2306.12116,
title = {Mean square exponential stability of numerical methods for stochastic differential delay equations},
author = {Guangqiang Lan and Qi Liu},
journal= {arXiv preprint arXiv:2306.12116},
year = {2023}
}
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19 pages