✦ LIBER ✦

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

✍ Scribed by Sulin Pang; Feiqi Deng; Xuerong Mao

Publisher: Elsevier Science
Year: 2008
Tongue: English
Weight: 214 KB
Volume: 213
Category: Article
ISSN: 0377-0427
DOI: 10.1016/j.cam.2007.01.003

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✦ Synopsis

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.

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✍ Xuerong Mao; Yi Shen; Alison Gray 📂 Article 📅 2011 🏛 Elsevier Science 🌐 English ⚖ 392 KB

This is a continuation of the first author's earlier paper [1] jointly with Pang and Deng, in which the authors established some sufficient conditions under which the Euler-Maruyama (EM) method can reproduce the almost sure exponential stability of the test hybrid SDEs. The key condition imposed in