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

DOI10.1016/J.AML.2022.108543MaRDI QIDQ2678366zbMATH OpenOpenAlexFDO

Authors Xiaotong Li, Wei Liu, Yudong Wang, 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 stabilitybackward Euler-Maruyama method\(p\)th moment exponential stabilitysuper-linear coefficients

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 2114382 (Why is no real title available?)
• scientific article; zbMATH DE number 7335009 (Why is no real title available?)
• Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations
• Convergence and stability of the backward Euler method for jump-diffusion SDEs with super-linearly growing diffusion and jump coefficients
• Explicit numerical approximations for stochastic differential equations in finite and infinite horizons: truncation methods, convergence in \(p\)th moment and stability
• Stochastic ordinary differential equations in applied and computational mathematics
• Strong convergence rates for backward Euler-Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients

Cited in

(2)

• Convergence and stability of the backward Euler method for jump-diffusion SDEs with super-linearly growing diffusion and jump coefficients
• Equivalence of the mean square stability between the partially truncated Euler-Maruyama method and stochastic differential equations with super-linear growing coefficients

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