Polynomial and exponential stability of \theta-EM approximations to a class of stochastic differential equations

arXiv1407.1486MaRDI QIDQ6252911FDOQ6252911

Chong Zhang, Guangqiang Lan, Yunjiao Hu

Publication date: 6 July 2014

Abstract: Both the mean square polynomial stability and exponential stability of $heta$ Euler-Maruyama approximation solutions of stochastic differential equations will be investigated for each $0lehetale1$ by using an auxiliary function $F$ (see the following definition (2.3)). Sufficient conditions are obtained to ensure the polynomial and exponential stability of the numerical approximations. The results in Liu et al [12] will be improved and generalized to more general cases. Several examples and non stability results are presented to support our conclusions.

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

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