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

作者：Mao, Xuerong^*; Shen, Yi; Gray, Alison

来源：Journal of Computational and Applied Mathematics, 2011, 235(5): 1213-1226.

DOI：10.1016/j.cam.2010.08.006

• Brownian motion
• Backward Euler-Maruyama
• Markov chain
• Almost sure exponential stability

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 [1] is the global Lipschitz condition. However, we will show in this paper that without this global Lipschitz condition the EM method may not preserve the almost sure exponential stability. We will then show that the backward EM method can capture the almost sure exponential stability for a certain class of highly nonlinear hybrid SDEs.

• 出版日期2011-1-1
• 单位华中科技大学