Equivalence of pth moment stability between stochastic differential delay equations and their numerical methods
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Publication:826698
DOI10.1016/J.SPL.2020.108952zbMATH Open1455.60074arXiv1907.13099OpenAlexW3087845482WikidataQ115341074 ScholiaQ115341074MaRDI QIDQ826698FDOQ826698
Authors: Zhenyu Bao, Jingwen Tang, Yan Shen, Wei Liu 
Publication date: 6 January 2021
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1907.13099
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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
- Convergence rate of the truncated Euler-Maruyama method for highly nonlinear neutral stochastic differential equations with time-dependent delay
- Stability equivalence among stochastic differential equations and stochastic differential equations with piecewise continuous arguments and corresponding Euler-Maruyama methods
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