Equivalence of pth moment stability between stochastic differential delay equations and their numerical methods

Zhenyu Bao, Jingwen Tang, Yan Shen and Wei Liu

Statistics & Probability Letters, 2021, vol. 168, issue C

Abstract: The equivalence of pth (p>0) moment stability between stochastic differential delay equations and their numerical methods is studied under the assumptions that the numerical methods are strongly convergent and have the bounded pth moment in the finite time.

Keywords: Stochastic differential delay equations; pth moment stability; Numerical methods (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.spl.2020.108952

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