The Convergence and MS Stability of Exponential Euler Method for Semilinear Stochastic Differential Equations

Autor:	Chunmei Shi, Yu Xiao, Chiping Zhang
Jazyk:	angličtina
Rok vydání:	2012
Předmět:	Mathematics QA1-939
Zdroj:	Abstract and Applied Analysis, Vol 2012 (2012)
Druh dokumentu:	article
ISSN:	1085-3375 1687-0409
DOI:	10.1155/2012/350407
Popis:	The numerical approximation of exponential Euler method is constructed for semilinear stochastic differential equations (SDEs). The convergence and mean-square (MS) stability of exponential Euler method are investigated. It is proved that the exponential Euler method is convergent with the strong order 1/2 for semilinear SDEs. A mean-square linear stability analysis shows that the stability region of exponential Euler method contains that of EM method and stochastic Theta method (0≤𝜃
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/bd84f988ef5143c49967df6cdc1229b3 Zobrazit plný text záznamu View record in DOAJ Plný text ve formátu PDF