Equivalence of pth moment stability between stochastic differential delay equations and their numerical methods
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Equivalence of \(p\)th moment stability between stochastic differential delay equations and their numerical methods
Equivalence of \(p\)th moment stability between stochastic differential delay equations and their numerical methods
Abstract: In this paper, a general theorem on the equivalence of pth moment stability between stochastic differential delay equations (SDDEs) and their numerical methods is proved under the assumptions that the numerical methods are strongly convergent and have the bouneded th moment in the finite time. The truncated Euler-Maruyama (EM) method is studied as an example to illustrate that the theorem indeed covers a large ranges of SDDEs. Alongside the investigation of the truncated EM method, the requirements on the step size of the method are significantly released compared with the work, where the method was initially proposed.
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Cited in
(4)- Equivalence of stability among stochastic differential equations, stochastic differential delay equations, and their corresponding Euler-Maruyama methods
- On \({\mathcal L}^p\)-stability of numerical schemes for linear stochastic delay differential equations
- Stability equivalence among stochastic differential equations and stochastic differential equations with piecewise continuous arguments and corresponding Euler-Maruyama methods
- Convergence rate of the truncated Euler-Maruyama method for highly nonlinear neutral stochastic differential equations with time-dependent delay
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