Stability in the small moment sense of the backward Euler-Maruyama method for stochastic differential equations with sup er-linear coefficients

被引：0

作者：

Li, Xiaotong ^{[1
]}

Liu, Wei ^{[1
,2
]}

Wang, Yudong ^{[1
]}

Wu, Ruoxue ^{[1
]}

机构：

[1] Shanghai Normal Univ, Dept Math, Shanghai 200234, Peoples R China

[2] Shanghai Normal Univ, Lab Educ Big Data & Policymaking, Shanghai 200234, Peoples R China

来源：

APPLIED MATHEMATICS LETTERS | 2023年 / 139卷

基金：

中国国家自然科学基金;

关键词：

Backward Euler-Maruyama method; Sup er-linear coefficients; pth moment exponential stability; Almost sure exponential stability; CONVERGENCE; DIFFUSION;

D O I：

10.1016/j.aml.2022.108543

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

For stochastic differential equations (SDEs) with sup er-linear drift and diffusion coefficients, the backward Euler-Maruyama (BEM) method is considered to reproduce the stability of the underlying SDEs. The pth moment exponential stability for some small p is an element of (0,1) and the almost sure exponential stability of the BEM method are proved. The results in this paper partially extend those in Higham, Mao and Yuan (2007). Numerical simulations are provided to illustrate the theoretical results. (c) 2022 Elsevier Ltd. All rights reserved.

引用

页数：7

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