Stability in the small moment sense of the backward Euler-Maruyama method for stochastic differential equations with super-linear coefficients

DOI10.1016/j.aml.2022.108543zbMath1503.65017MaRDI QIDQ2678366

Yudong Wang, Wei Liu, Xiaotong Li, Ruoxue Wu

Publication date: 23 January 2023

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2022.108543

zbMATH Keywords

almost sure exponential stability; backward Euler-Maruyama method; \(p\)th moment exponential stability; super-linear coefficients

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

65L20: Stability and convergence of numerical methods for ordinary differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations