期刊论文详细信息
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 卷:213 |
Almost sure and moment exponential stability of Euler-Maruyama discretizations for hybrid stochastic differential equations | |
Article | |
Pang, Sulin2  Deng, Feiqi3  Mao, Xuerong1  | |
[1] Univ Strathclyde, Dept Stat & Modelling Sci, Glasgow G1 1XH, Lanark, Scotland | |
[2] Jinan Univ, Dept Accountancy & Math, Guangzhou 510632, Guangdong, Peoples R China | |
[3] S China Univ Technol, Syst Engn Inst, Guangzhou 510640, Peoples R China | |
关键词: Brownian motion; Euler-Maruyama; Markov chain; exponential stability; | |
DOI : 10.1016/j.cam.2007.01.003 | |
来源: Elsevier | |
【 摘 要 】
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. (c) 2007 Elsevier B.V. All rights reserved.
【 授权许可】
Free
【 预 览 】
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10_1016_j_cam_2007_01_003.pdf | 214KB | download |