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

DOI10.1016/J.AMC.2020.125813MaRDI QIDQ6332913arXivWikidataFDO

Authors Minghui Song, Yidan Geng, M. Z. Liu

Publication date 15 January 2020

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)

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

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