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Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations

✍ Scribed by Higham, Desmond J.; Mao, Xuerong; Yuan, Chenggui


Book ID
118190972
Publisher
Society for Industrial and Applied Mathematics
Year
2007
Tongue
English
Weight
202 KB
Volume
45
Category
Article
ISSN
0036-1429

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Almost sure and moment exponential stabi
✍ Sulin Pang; Feiqi Deng; Xuerong Mao πŸ“‚ Article πŸ“… 2008 πŸ› Elsevier Science 🌐 English βš– 214 KB

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 ap