Stability of Numerical Solution to Pantograph Stochastic Functional Differential Equations

DOI10.1016/J.AMC.2022.127326MaRDI QIDQ6374370arXivWikidataFDO

Authors Hao Wu, Junhao Hu, Chenggui Yuan

Publication date 2 August 2021

Published in arXiv

Full work available at URL https://doi.org/10.1016/J.AMC.2022.127326

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic integral equations (60H20)

arXiv classification

math.PR

Abstract: In this paper, we study the convergence of the Euler-Maruyama numerical solutions for pantograph stochastic functional differential equations which was proposed in [11]. We also show that the numerical solutions have the properties of almost surely polynomial stability and exponential stability with the help of semi-martingale convergence theorem.

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