期刊
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
卷 235, 期 5, 页码 1213-1226出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.cam.2010.08.006
关键词
Brownian motion; Backward Euler-Maruyama; Markov chain; Almost sure exponential stability
资金
- Royal Society of Edinburgh
- Scottish Government
- British Council Shanghai
- National Natural Science Foundation of China [60874031, 60740430664]
- Engineering and Physical Sciences Research Council [EP/E009409/1] Funding Source: researchfish
- EPSRC [EP/E009409/1] Funding Source: UKRI
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. (C) 2010 Elsevier B.V. All rights reserved.
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