Error Estimations for the Euler-Maruyama Approximate Solutions of Stochastic Differential Equations
✍ Scribed by KANAGAWA, Shuya
- Book ID
- 120815288
- Publisher
- Walter de Gruyter GmbH & Co. KG
- Year
- 1995
- Tongue
- English
- Weight
- 1007 KB
- Volume
- 1
- Category
- Article
- ISSN
- 0929-9629
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
Stochastic differential equations with Markovian switching (SDEwMSs), one of the important classes of hybrid systems, have been used to model many physical systems that are subject to frequent unpredictable structural changes. The research in this area has been both theoretical and applied. Most of
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
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