Strong convergence and stability of backward Euler-Maruyama scheme for highly nonlinear hybrid stochastic differential delay equation (Q895655): Difference between revisions

The author considers a stochastic differential delay system of equations with Markovian switching under a local Lipschitz condition for both drift and diffusion coefficients, a one-sided polynomial growth condition on the drift coefficient, and a polynomial growth condition on the diffusion coefficient. Previous works have shown existence, uniqueness and almost sure exponential stability of the solution to this system. In the present paper, moment boundedness of the solution is first proved. Then a backward Euler-Maruyama scheme of approximation is proposed, and the main task is to prove strong convergence of this implicit scheme under an additional one-side Lipschitz condition on the drift coefficient. Finally, almost sure exponential stability is shown to be preserved for the backward scheme of approximation if the step size is small enough. A key tool for that is a discrete semi-martingale convergence theorem. A numerical example illustrates the previous theoretical results.