Mean square exponential stability of numerical methods for stochastic differential delay equations
Year: 2023
Type: preprint
Abstract: Mean square exponential stability of $θ$-EM and modified truncated Euler-Maruyama (MTEM) methods for stochastic differential delay equations (SDDEs) are investigated in this paper. We present new criterion of mean square exponential stability of the $θ$-EM and MTEM methods for SDDEs, which are different from most existing results under Khasminskii-type conditions. Two examples are provided to support our conclusions.
Source: arXiv (Cornell University)
Authors: Lan, Guangqiang, Liu, Qi
Institution: Beijing University of Chemical Technology
Language: English
Subfield: Numerical Analysis
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W4381713851