Almost sure exponential stability of backward Euler–Maruyama discretizations for hybrid stochastic differential equations
نویسندگان
چکیده
منابع مشابه
Almost sure exponential stability of backward Euler-Maruyama discretizations for hybrid stochastic differential equations
This is a continuation of the first author’s earlier paper [17] 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 [17] is the global Lipschitz condition. However, we will show in this paper that without this gl...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2011
ISSN: 0377-0427
DOI: 10.1016/j.cam.2010.08.006