Almost sure and moment exponential stability of Euler-Maruyama discretizations for hybrid stochastic differential equations (Q2469616)
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scientific article; zbMATH DE number 5232927
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| English | Almost sure and moment exponential stability of Euler-Maruyama discretizations for hybrid stochastic differential equations |
scientific article; zbMATH DE number 5232927 |
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Almost sure and moment exponential stability of Euler-Maruyama discretizations for hybrid stochastic differential equations (English)
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6 February 2008
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Hybrid stochastic differential systems are designed to model the switching between different systems according to an independent Markov chain. The long time dynamics of numerical approximations of these systems is investigated. Euler-Maruyama discretizations are shown to capture almost sure and moment exponential stability for all sufficiently small time steps under appropriate conditions.
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Brownian motion
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Euler-Maruyama method
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Markov chain
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exponential stability
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hybrid stochastic differential systems
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long time dynamics
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0.910457730293274
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0.8763396739959717
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0.8669180870056152
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0.8658985495567322
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