Exponential stability of modified truncated EM method for stochastic differential equations

2017/04/11 by Guangqiang Lan, Lan, Guangqiang, Fang Xia +1
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #60H10 #65C30 #Differential Equations and Numerical Methods #FOS: Mathematics #Probabilistic and Robust Engineering Design #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1704.03158

openalex publication_date 2017/04/11 · openalex created_date 2017/04/28 · openalex updated_date 2026/07/28

Abstract

Exponential stability of modified truncated Euler-Maruyama method for stochastic differential equations are investigated in this paper. Sufficient conditions for the p-th moment and almost sure exponential stability of the given numerical method are presented. An example is provided to support our conclusions.

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