Stability equivalence among stochastic differential equations and stochastic differential equations with piecewise continuous arguments and corresponding Euler-Maruyama methods

DOI10.1016/J.AMC.2020.125813arXiv2001.05203WikidataQ115361165 ScholiaQ115361165MaRDI QIDQ6332913FDOQ6332913

Yidan Geng, M. Z. Liu, Minghui Song

Publication date: 15 January 2020

Abstract: In this paper, we consider the equivalence of the $p$th moment exponential stability for stochastic differential equations (SDEs), stochastic differential equations with piecewise continuous arguments (SDEPCAs) and the corresponding Euler-Maruyama methods EMSDEs and EMSDEPCAs. We show that if one of the SDEPCAs, SDEs, EMSDEs and EMSDEPCAs is $p$th moment exponentially stable, then any of them is $p$th moment exponentially stable for a sufficiently small step size $h$ and $au$ under the global Lipschitz assumption on the drift and diffusion coefficients

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability theory of functional-differential equations (34K20) Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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