相关论文: Exponential stability of modified truncated EM met…

We introduce free probability analogues of the stochastic theta methods for free stochastic differential equations in this work. Assume that the drift coefficient of the free stochastic differential equations is operator Lipschitz and the…

In this paper exponential stability of nonlinear fractional order stochastic system with Poisson jumps is studied in finite dimensional space. Existence and uniqueness of solution, stability and exponential stability results are established…

In this paper numerical methods for solving stochastic differential equations with Markovian switching (SDEwMSs) are developed by pathwise approximation. The proposed family of strong predictor-corrector Euler-Maruyama methods is designed…

In this paper, we study a class of super-linear stochastic differential delay equations with Poisson jumps (SDDEwPJs). The convergence and rate of the convergence of the truncated Euler-Maruyama numerical solutions to SDDEwPJs are…

In this paper, we extend the logarithmic Euler-Maruyama scheme for stochastic delay differential equation in one dimension to the part where we propose a scheme for a system of stochastic delay differential equations. We then show that the…

This paper is concerned with fully discrete mixed finite element approximations of the time-dependent stochastic Stokes equations with multiplicative noise. A prototypical method, which comprises of the Euler-Maruyama scheme for time…

The strong convergence of the semi-implicit Euler-Maruyama (EM) method for stochastic differential equations with non-linear coefficients driven by a class of L\'evy processes is investigated. The dependence of the convergence order of the…

Since it is difficult to implement implicit schemes on the infinite-dimensional space, we aim to develop the explicit numerical method for approximating super-linear stochastic functional differential equations (SFDEs). Precisely, borrowing…

We prove a general criterion providing sufficient conditions under which a time-discretiziation of a given Stochastic Differential Equation (SDE) is a uniform in time approximation of the SDE. The criterion is also, to a certain extent,…

This work focuses on stability analysis of numerical solutions to jump diffusions and jump diffusions with Markovian switching. Due to the use of Poisson processes, using asymptotic expansions as in the usual approach of treating diffusion…

We give an approach to exponential stability within the framework of evolutionary equations due to [R. Picard. A structural observation for linear material laws in classical mathematical physics. Math. Methods Appl. Sci.,…

This paper proposes a unified approach for studying global exponential stability of a general class of switched systems described by time-varying nonlinear functional differential equations. Some new delay-independent criteria of global…

This work deals with the Euler-Maruyama (EM) scheme for stochastic differential equations with Markovian switching (SDEwMSs). We focus on the Lp-convergence rate (p is greater than or equal to 2) of the EM method given in this paper. As far…

We discuss a system of stochastic differential equations with a stiff linear term and additive noise driven by fractional Brownian motions (fBms) with Hurst parameter H>1/2, which arise e. g., from spatial approximations of stochastic…

In this paper, we obtain results on exponential stability of second order delay differential equations, which are based on a version of the Floquet theory for delay differential equations of the second order we proposed. Our version allows…

We first introduce the calculus of Peng's G-Brownian motion on a sublinear expectation space $(\Omega, {\cal H}, \hat{\mathbb{E}})$. Then we investigate the exponential stability of paths for a class of stochastic differential equations…

In this paper, we study a new type of stochastic functional differential equations which is called hybrid pantograph stochastic functional differential equations. We investigate several moment properties and sample properties of the…

This paper deals with the stability of linear periodic difference delay systems, where the value at time $t$ of a solution is a linear combination with periodic coefficients of its values at finitely many delayed instants…

Over the last few decades, the numerical methods for stochastic differential delay equations (SDDEs) have been investigated and developed by many scholars. Nevertheless, there is still little work to be completed. By virtue of the novel…

We analyse the problem of stability of a continuous time linear switching system (LSS) versus the stability of its Euler discretization. It is well-known that the existence of a positive {\tau} for which the corresponding discrete time…