Exponential stability in \(p\)-th mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations (Q2566265)
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scientific article; zbMATH DE number 2207439
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| English | Exponential stability in \(p\)-th mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations |
scientific article; zbMATH DE number 2207439 |
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Exponential stability in \(p\)-th mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations (English)
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22 September 2005
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The stability of solutions of stochastic differential equations with delay is investigated. A Halanay-type inequality for deterministic differential equations is given and applied to the global exponential stability in the \(p\)-th mean of stochastic delay differential equations. Then a discrete analogue of the Halanay theory is introduced to develop a \(p\)-th mean stability analysis of stochastic delay difference equations. Finally these results are used to obtain mean-square stability conditions for solutions and numerical Euler-Maruyama approximations of a constant-coefficient linear test equation.
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Halanay-type inequality
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asymptotic stability
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stochastic delay difference equation
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Euler-Maruyama scheme
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exponential stability
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stochastic delay differential equation
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0.8679354190826416
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0.8617355227470398
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0.8473916053771973
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