Exponential stability of equidistant Euler-Maruyama approximations of stochastic differential delay equations (Q859891): Difference between revisions

The author considers the \(n\)-dimensional autonomous stochastic differential delay equation (SDDE) \[ dy(t)=f\bigl(y(t),y(t-\tau)\bigr)dt +g\bigl(y(t),y(t-\tau)\bigr)dw(t),\quad f(0,0)=0,\;g(0,0)=0, \] with an initial data. In the equation, \(w(t)\) is an \(m\)-dimensional Brownian motion, \(f\) is a vector and \(g\) is a matrix of the corresponding dimensions. It is shown that under some assumptions an SDDE is exponentially stable in the mean square if and only if for some sufficient stepsize the Euler-Maruyama, method is exponentially stable in the mean square. The paper adjoins the work by \textit{D. J. Higham, X. Mao} and \textit{A. M. Stuart} [LMS J. Comput. Math. 6, 297--313 (2003; Zbl 1055.65009)].