Almost sure and moment exponential stability of Euler-Maruyama method for non-autonomous stochastic differential equations

Autor:	Ren Hong-wei, Mo Haoyi, Deng Fei-qi
Rok vydání:	2015
Předmět:	Stochastic differential equation Mathematics::Probability Exponential stability Exponential growth Stability theory Mathematical analysis Exponential integrator Euler–Maruyama method Mathematics::Numerical Analysis Mathematics Numerical stability Linear stability
Zdroj:	2015 34th Chinese Control Conference (CCC).
DOI:	10.1109/chicc.2015.7259884
Popis:	For autonomous stochastic differential equations (SDEs), it has been shown that the Euler-Maruyama (EM) method produces almost sure exponential stability and moment exponential stability of SDEs under some conditions which include the linear growth condition. In this work, we extend these results to non-autonomous SDEs, and prove that the exact solution is almost sure exponential stability and moment exponential stability under the local linear growth condition which is weaker than the linear growth condition. It is shown that the EM method maintains corresponding stability. A numerical example is presented to illustrate the effectiveness of this result.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::c0cfb900908ba0bc4e065ed42a97f094 https://doi.org/10.1109/chicc.2015.7259884 Zobrazit plný text záznamu