Practical Stability in thepth Mean for Itô Stochastic Differential Equations
نویسندگان
چکیده
منابع مشابه
strong approximation for itô stochastic differential equations
in this paper, a class of semi-implicit two-stage stochastic runge-kutta methods (srks) of strong global order one, with minimum principal error constants are given. these methods are applied to solve itô stochastic differential equations (sdes) with a wiener process. the efficiency of this method with respect to explicit two-stage itô runge-kutta methods (irks), it method, milstien method, sem...
متن کاملMean Field Forward-Backward Stochastic Differential Equations
The purpose of this note is to provide an existence result for the solution of fully coupled Forward Backward Stochastic Differential Equations (FBSDEs) of the mean field type. These equations occur in the study of mean field games and the optimal control of dynamics of the McKean Vlasov type.
متن کاملExponential Stability in Mean Square for Neutral Stochastic Partial Functional Differential Equations with Impulses
We discuss the exponential stability in mean square of mild solution for neutral stochastic partial functional differential equations with impulses. By applying impulsive Gronwall-Bellman inequality, the stochastic analytic techniques, the fractional power of operator, and semigroup theory, we obtain some completely new sufficient conditions ensuring the exponential stability in mean square of ...
متن کاملOn exponential mean-square stability of two-step Maruyama methods for stochastic delay differential equations
We are concerned with the exponential mean-square stability of two-step Maruyama methods for stochastic differential equations with time delay. We propose a family of schemes and prove that it can maintain the exponential mean-square stability of the linear stochastic delay differential equation for every step size of integral fraction of the delay in the equation. Numerical results for linear ...
متن کاملMean Square Exponential Stability for Stochastic Functional Differential Equations with Impulses
Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. Abstract In this paper, stochastic functional differential equations with impulses are considered. By employing Gronwall-Bellman inequality, the stochastic analytic technique and the properties of operator semigroup, the sufficient con...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Mathematical Problems in Engineering
سال: 2012
ISSN: 1024-123X,1563-5147
DOI: 10.1155/2012/380304