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

作者：Pang, Sulin; Deng, Feiqi; Mao, Xuerong^*

来源：Journal of Computational and Applied Mathematics, 2008, 213(1): 127-141.

DOI：10.1016/j.cam.2007.01.003

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

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.

• 出版日期2008-3-15
• 单位暨南大学; 华南理工大学