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

DOI10.1016/J.CAM.2010.08.006MaRDI QIDQ609207zbMATHOpenAlexFDO

Authors Sumit K. Garg

Publication date 30 November 2010

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

Full work available at URL https://doi.org/10.1016/j.cam.2010.08.006

zbMATH Keywords

Markov chainBrownian motionstochastic differential equationsalmost sure exponential stabilitybackward Euler-Maruyama method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Stability and convergence of numerical methods for ordinary differential equations (65L20)

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Cited in

(37)

• Almost surely exponential stability of numerical solutions for stochastic pantograph equations
• Switching-dominated stability of numerical solutions for hybrid neutral stochastic differential delay equations
• Explicit approximations for nonlinear switching diffusion systems in finite and infinite horizons
• Almost sure exponential stability of the backward Euler-Maruyama discretization for highly nonlinear stochastic functional differential equation
• The stochastic \(\theta\) method for stationary distribution of stochastic differential equations with Markovian switching
• Almost sure exponential stability of \(\theta\)-method for hybrid stochastic differential equations
• Consensus stability analysis for stochastic multi-agent systems with multiplicative measurement noises and Markovian switching topologies
• Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations
• The moment exponential stability criterion of nonlinear hybrid stochastic differential equations and its discrete approximations
• Tamed-Euler method for nonlinear switching diffusion systems with locally Hölder diffusion coefficients
• The numerical invariant measure of stochastic differential equations with Markovian switching
• Exponential stability of the exact and numerical solutions for neutral stochastic delay differential equations
• The convergence and MS stability of exponential Euler method for semilinear stochastic differential equations
• Implicit numerical solutions for solving stochastic differential equations with jumps
• Almost sure exponential stability of stochastic differential delay equations
• Stability and stochastic stabilization of numerical solutions of regime-switching jump diffusion systems
• Almost sure and moment exponential stability of predictor-corrector methods for stochastic differential equations
• Exponential stability of numerical solution to neutral stochastic functional differential equation
• Strong convergence and stability of backward Euler-Maruyama scheme for highly nonlinear hybrid stochastic differential delay equation
• Numerical solution to highly nonlinear neutral-type stochastic differential equation
• Numerical approximation for nonlinear stochastic pantograph equations with Markovian switching
• Complete backward Euler numerical scheme for general SFDEs with exponential stability under the polynomial growth condition
• Almost sure exponential stability in the numerical simulation of stochastic differential equations
• Convergence and asymptotic stability of an explicit numerical method for non-autonomous stochastic differential equations
• Asymptotic moment boundedness of the stochastic theta method and its application for stochastic differential equations
• Choice of \(\theta\) and its effects on stability in the stochastic \(\theta\)-method of stochastic delay differential equations
• Implicit numerical solutions to neutral-type stochastic systems with superlinearly growing coefficients
• Almost sure exponential stability of the \(\theta\)-method for stochastic differential equations
• Almost sure and moment exponential stability of Euler-Maruyama discretizations for hybrid stochastic differential equations
• Almost sure exponential stability of the backward Euler-Maruyama scheme for stochastic delay differential equations with monotone-type condition
• Stabilization of hybrid neutral stochastic differential delay equations by delay feedback control
• Numerical stationary distribution and its convergence for nonlinear stochastic differential equations
• Preserving exponential mean-square stability in the simulation of hybrid stochastic differential equations
• Almost sure stability of the Euler-Maruyama method with random variable stepsize for stochastic differential equations
• Backward Euler-Maruyama method applied to nonlinear hybrid stochastic differential equations with time-variable delay
• Strong convergence of implicit numerical methods for nonlinear stochastic functional differential equations
• Explicit numerical approximation for an impulsive stochastic age-structured HIV infection model with Markovian switching

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