Exponential stability of equidistant Euler–Maruyama approximations of stochastic differential delay equations
نویسندگان
چکیده
منابع مشابه
Exponential stability of equidistant Euler–Maruyama approximations of stochastic differential delay equations
Our aim is to study under what conditions the exact and numerical solution (based on equidistant nonrandom partitions of integration time-intervals) to a stochastic differential delay equation (SDDE) share the property of mean-square exponential stability. Our approach is trying to avoid the use of Lyapunov functions or functionals. We show that under a global Lipschitz assumption an SDDE is ex...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2007
ISSN: 0377-0427
DOI: 10.1016/j.cam.2005.11.035