Stability in the small moment sense of the backward Euler-Maruyama method for stochastic differential equations with super-linear coefficients

DOI10.1016/j.aml.2022.108543zbMath1503.65017OpenAlexW4312056040MaRDI QIDQ2678366

Yudong Wang, Ruoxue Wu, Xiaotong Li, Wei Liu

Publication date: 23 January 2023

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2022.108543

zbMATH Keywords

almost sure exponential stabilitybackward Euler-Maruyama method\(p\)th moment exponential stabilitysuper-linear coefficients

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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• Convergence and stability of the backward Euler method for jump-diffusion SDEs with super-linearly growing diffusion and jump coefficients
• Stochastic ordinary differential equations in applied and computational mathematics
• Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations
• Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
• Explicit numerical approximations for stochastic differential equations in finite and infinite horizons: truncation methods, convergence in pth moment and stability