Preserving exponential mean-square stability in the simulation of hybrid stochastic differential equations (Q2465405)

Some positive results are derived concerning the long time dynamics of fixed step size numerical simulations of stochastic differential equation systems with Markovian switching. It is shown that, under appropriate conditions, Euler-Maruyama and implicit theta-method discretisations can capture exponential mean-square stability for all sufficiently small time-steps. The authors give some convergence results, and show that the mean-square A-stability of the theta method does not carry through to this switching scenario.