Almost sure exponential stability of backward Euler-Maruyama discretizations for hybrid stochastic differential equations (Q609207)

The paper is concerned with the long time dynamics of numerical simulations of hybrid stochastic differential equations (SDEs). The research in this direction is motivated by the question when does a numerical method reproduce the almost sure exponential stability of the test hybrid SDEs. The authors argue that the Euler-Maruyama (EM) method in general cannot preserve the almost sure exponential stability without the global Lipschitz condition. On the positive side, they show that the backward EM method can capture almost sure exponential stability for a certain class of highly nonlinear hybrid SDEs.