Exponential stability of modified truncated EM method for stochastic differential equations

MaRDI QIDQ6285370zbMATH OpenFDO

Authors Guangqiang Lan, Fang Xia

Publication date 11 April 2017

Mathematics Subject Classification ID

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

Abstract: Exponential stability of modified truncated Euler-Maruyama method for stochastic differential equations are investigated in this paper. Sufficient conditions for the $p$-th moment and almost sure exponential stability of the given numerical method are presented. An example is provided to support our conclusions.

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