Almost sure and moment exponential stability of Euler-Maruyama discretizations for hybrid stochastic differential equations

被引：45

作者：

Pang, Sulin ^{[2
]}

Deng, Feiqi ^{[3
]}

Mao, Xuerong ^{[1
]}

机构：

[1] Univ Strathclyde, Dept Stat & Modelling Sci, Glasgow G1 1XH, Lanark, Scotland

[2] Jinan Univ, Dept Accountancy & Math, Guangzhou 510632, Guangdong, Peoples R China

[3] S China Univ Technol, Syst Engn Inst, Guangzhou 510640, Peoples R China

来源：

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2008年 / 213卷 / 01期

基金：

英国工程与自然科学研究理事会; 中国国家自然科学基金;

关键词：

Brownian motion; Euler-Maruyama; Markov chain; exponential stability;

D O I：

10.1016/j.cam.2007.01.003

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Positive results are derived concerning the long time dynamics of numerical simulations of stochastic differential equation systems with Markovian switching. Euler-Maruyama discretizations are shown to capture almost sure and moment exponential stability for all sufficiently small timesteps under appropriate conditions. (c) 2007 Elsevier B.V. All rights reserved.

引用

页码：127 / 141

页数：15

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