Exponential stability of the exact solutions and -EM approximations to neutral SDDEs with Markov switching

DOI10.1016/J.CAM.2015.02.028MaRDI QIDQ2345664zbMATH OpenOpenAlexFDO

Authors Guangqiang Lan, Chenggui Yuan

Publication date 22 May 2015

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1410.3551

zbMATH Keywords

Euler-Maruyama approximationexponential stabilityMarkov switchingneutral stochastic differential delay equations

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Neutral functional-differential equations (34K40) Stochastic functional-differential equations (34K50) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: Exponential stability of the exact solutions as well as $heta$-EM ($frac12<hetale1$) approximations to neutral stochastic differential delay equations with Markov switching will be investigated in this paper. Sufficient conditions are obtained to ensure the $p$-th moment ($pge1$) and almost sure exponential stability of the exact solutions as well as $heta$-EM approximations ($p=2$). An example will be presented to support our conclusions.

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Cited in

(23)

• Polynomial stability of exact solution and a numerical method for stochastic differential equations with time-dependent delay
• Asymptotic exponential stability of modified truncated EM method for neutral stochastic differential delay equations
• Strong convergence rates of modified truncated EM method for stochastic differential equations
• Divergence of the backward Euler method for ordinary stochastic differential equations
• Exponential stability of \(\theta\)-EM method for nonlinear stochastic Volterra integro-differential equations
• Numerical method of highly nonlinear and nonautonomous neutral stochastic differential delay equations with Markovian switching
• pth moment (p (0, 1)) and almost sure exponential stability of the exact solutions and modified truncated EM method for stochastic differential equations
• Strong convergence and stability of the split-step theta method for highly nonlinear neutral stochastic delay integro differential equation
• Switching-dominated stability of numerical solutions for hybrid neutral stochastic differential delay equations
• Strong convergence of a tamed theta scheme for NSDDEs with one-sided Lipschitz drift
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• Exponential stability of numerical solutions to SDDEs with Markovian switching
• Stability of stochastic theta method for asset price models with Markovian switching
• Almost sure exponential stability of the θ-Euler-Maruyama method for neutral stochastic differential equations with time-dependent delay when θ ∈ [0; 1 2]
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