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

DOI10.1016/j.amc.2020.125813OpenAlexW3132587332WikidataQ115361165 ScholiaQ115361165MaRDI QIDQ2242666

Yidan Geng, Minghui Song, Ming-Zhu Liu

Publication date: 10 November 2021

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2001.05203

zbMATH Keywords

exponential stabilitystochastic differential equationsnumerical solutionspiecewise continuous arguments

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)

Related Items (2)

The Convergence of Truncated Euler-Maruyama Method for Stochastic Differential Equations with Piecewise Continuous Arguments Under Generalized One-Sided Lipschitz Condition ⋮ Equivalence of stability among stochastic differential equations, stochastic differential delay equations, and their corresponding Euler-Maruyama methods

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations
• Stabilization of hybrid stochastic differential equations by feedback control based on discrete-time state observations
• Convergence of the stochastic Euler scheme for locally Lipschitz coefficients
• Exponential stability of equidistant Euler-Maruyama approximations of stochastic differential delay equations
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Convergence and stability of the compensated split-step theta method for stochastic differential equations with piecewise continuous arguments driven by Poisson random measure
• Almost sure exponential stability of hybrid stochastic functional differential equations
• Stability equivalence between the neutral delayed stochastic differential equations and the Euler-Maruyama numerical scheme
• Convergence rate and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments
• Stability of regime-switching stochastic differential equations
• Stability equivalence between the stochastic differential delay equations driven by \(G\)-Brownian motion and the Euler-Maruyama method
• Stabilization of continuous-time hybrid stochastic differential equations by discrete-time feedback control
• Preserving exponential mean-square stability in the simulation of hybrid stochastic differential equations
• Asymptotic mean-square stability of two-step methods for stochastic ordinary differential equations
• Exponential stability in \(p\)-th mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations
• Numerical Analysis of Explicit One-Step Methods for Stochastic Delay Differential Equations
• Almost Sure Exponential Stability in the Numerical Simulation of Stochastic Differential Equations
• Almost Sure Exponential Stabilization by Discrete-Time Stochastic Feedback Control
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• On pth moment stabilization of hybrid systems by discrete-time feedback control
• Stabilization of Hybrid Systems by Feedback Control Based on Discrete‐Time State and Mode Observations
• Introduction to Stochastic Differential Equations with Applications to Modelling in Biology and Finance
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Numerical Solutions of Stochastic Functional Differential Equations
• Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
• Lyapunov Functionals and Stability of Stochastic Functional Differential Equations
• Stabilization of Hybrid Systems by Feedback Control Based on Discrete-Time State Observations
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations
• Almost Sure Exponential Stability of Stochastic Differential Delay Equations
• Explicit numerical approximations for stochastic differential equations in finite and infinite horizons: truncation methods, convergence in pth moment and stability
• Stochastic differential equations. An introduction with applications.

This page was built for publication: Stability equivalence among stochastic differential equations and stochastic differential equations with piecewise continuous arguments and corresponding Euler-Maruyama methods