Almost sure exponential stability of backward Euler-Maruyama discretizations for hybrid stochastic differential equations
DOI10.1016/J.CAM.2010.08.006zbMATH Open1227.65012OpenAlexW2110573897MaRDI QIDQ609207FDOQ609207
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
Markov chainBrownian motionstochastic differential equationsalmost sure exponential stabilitybackward Euler-Maruyama method
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 (30)
- Tamed-Euler method for nonlinear switching diffusion systems with locally Hölder diffusion coefficients
- Implicit numerical solutions for solving stochastic differential equations with jumps
- Complete backward Euler numerical scheme for general SFDEs with exponential stability under the polynomial growth condition
- Explicit numerical approximation for an impulsive stochastic age-structured HIV infection model with Markovian switching
- Almost sure exponential stability of the backward Euler-Maruyama discretization for highly nonlinear stochastic functional differential equation
- Almost sure exponential stability of stochastic differential delay equations
- Stabilization of hybrid neutral stochastic differential delay equations by delay feedback control
- Backward Euler-Maruyama method applied to nonlinear hybrid stochastic differential equations with time-variable delay
- Exponential stability of the exact and numerical solutions for neutral stochastic delay differential equations
- Choice of θ and its effects on stability in the stochastic θ-method of stochastic delay differential equations
- Numerical approximation for nonlinear stochastic pantograph equations with Markovian switching
- Strong convergence of implicit numerical methods for nonlinear stochastic functional differential equations
- Explicit approximations for nonlinear switching diffusion systems in finite and infinite horizons
- Asymptotic moment boundedness of the stochastic theta method and its application for stochastic differential equations
- Almost sure exponential stability of the backward Euler-Maruyama scheme for stochastic delay differential equations with monotone-type condition
- The stochastic \(\theta\) method for stationary distribution of stochastic differential equations with Markovian switching
- Almost sure exponential stability of the \(\theta\)-method for stochastic differential equations
- Numerical stationary distribution and its convergence for nonlinear stochastic differential equations
- Almost surely exponential stability of numerical solutions for stochastic pantograph equations
- Convergence and asymptotic stability of an explicit numerical method for non-autonomous stochastic differential equations
- Consensus stability analysis for stochastic multi-agent systems with multiplicative measurement noises and Markovian switching topologies
- The Numerical Invariant Measure of Stochastic Differential Equations With Markovian Switching
- The convergence and MS stability of exponential Euler method for semilinear stochastic differential equations
- Stability and stochastic stabilization of numerical solutions of regime-switching jump diffusion systems
- Numerical solution to highly nonlinear neutral-type stochastic differential equation
- Almost sure stability of the Euler-Maruyama method with random variable stepsize for stochastic differential equations
- Exponential stability of numerical solution to neutral stochastic functional differential equation
- Implicit numerical solutions to neutral-type stochastic systems with superlinearly growing coefficients
- Strong convergence and stability of backward Euler-Maruyama scheme for highly nonlinear hybrid stochastic differential delay equation
- Switching-dominated stability of numerical solutions for hybrid neutral stochastic differential delay equations
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