Polynomial stability of exact solution and a numerical method for stochastic differential equations with time-dependent delay
Probability
2018-01-16 v1
Abstract
Polynomial stability of exact solution and modified truncated Euler-Maruyama method for stochastic differential equations with time-dependent delay are investigated in this paper. By using the well known discrete semimartingale convergence theorem, sufficient conditions are obtained for both bounded and unbounded delay to ensure the polynomial stability of the corresponding numerical approximation. Examples are presented to illustrate the conclusion.
Cite
@article{arxiv.1801.04517,
title = {Polynomial stability of exact solution and a numerical method for stochastic differential equations with time-dependent delay},
author = {Guangqiang Lan and Fang Xia and Qiushi Wang},
journal= {arXiv preprint arXiv:1801.04517},
year = {2018}
}