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

Sulin Pang; Feiqi  Deng; Xuerong Mao; EPSRC (Funder); National Science Foundation of China (Funder); Jinan University of China (Funder)

doi:10.1016/j.cam.2007.01.003

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

Sulin Pang
, Feiqi Deng
, Xuerong Mao
, EPSRC (Funder)
, National Science Foundation of China (Funder)
, Jinan University of China (Funder)

Mathematics And Statistics

Research output: Contribution to journal › Article › peer-review

60 Citations (Scopus)

106 Downloads (Pure)

Abstract

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 momente xponential stability for all sufficiently small timesteps under appropriate conditions.

Original language	English
Pages (from-to)	127-141
Number of pages	14
Journal	Journal of Computational and Applied Mathematics
Volume	213
Issue number	1
DOIs	https://doi.org/10.1016/j.cam.2007.01.003
Publication status	Published - 15 Mar 2008

Keywords

brownian motion
euler-maruyama
markov chain
exponentialstability

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Pang, S., Deng, F., Mao, X., EPSRC (Funder), National Science Foundation of China (Funder), & Jinan University of China (Funder) (2008). Almost sure and moment exponential stability of Euler-Maruyama discretizations for hybrid stochastic differential equations. Journal of Computational and Applied Mathematics, 213(1), 127-141. https://doi.org/10.1016/j.cam.2007.01.003

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abstract = "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 momente xponential stability for all sufficiently small timesteps under appropriate conditions.",

keywords = "brownian motion, euler-maruyama, markov chain, exponentialstability",

author = "Sulin Pang and Feiqi Deng and Xuerong Mao and \{EPSRC (Funder)\} and \{National Science Foundation of China (Funder)\} and \{Jinan University of China (Funder)\}",

year = "2008",

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Pang, S, Deng, F, Mao, X, EPSRC (Funder), National Science Foundation of China (Funder) & Jinan University of China (Funder) 2008, 'Almost sure and moment exponential stability of Euler-Maruyama discretizations for hybrid stochastic differential equations', Journal of Computational and Applied Mathematics, vol. 213, no. 1, pp. 127-141. https://doi.org/10.1016/j.cam.2007.01.003

TY - JOUR

T1 - Almost sure and moment exponential stability of Euler-Maruyama discretizations for hybrid stochastic differential equations

AU - Pang, Sulin

AU - Deng, Feiqi

AU - Mao, Xuerong

AU - EPSRC (Funder)

AU - National Science Foundation of China (Funder)

AU - Jinan University of China (Funder)

PY - 2008/3/15

Y1 - 2008/3/15

N2 - 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 momente xponential stability for all sufficiently small timesteps under appropriate conditions.

AB - 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 momente xponential stability for all sufficiently small timesteps under appropriate conditions.

KW - brownian motion

KW - euler-maruyama

KW - markov chain

KW - exponentialstability

U2 - 10.1016/j.cam.2007.01.003

DO - 10.1016/j.cam.2007.01.003

M3 - Article

SN - 0377-0427

VL - 213

SP - 127

EP - 141

JO - Journal of Computational and Applied Mathematics

JF - Journal of Computational and Applied Mathematics

IS - 1

ER -

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

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Keywords

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