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
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【 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.

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