Stability of Analytical and Numerical Solutions for Nonlinear Stochastic Delay Differential Equations with Jumps

Qiyong Li and Siqing Gan

Abstract and Applied Analysis, 2012, vol. 2012, 1-13

Abstract:

This paper is concerned with the stability of analytical and numerical solutions for nonlinear stochastic delay differential equations (SDDEs) with jumps. A sufficient condition for mean-square exponential stability of the exact solution is derived. Then, mean-square stability of the numerical solution is investigated. It is shown that the compensated stochastic θ methods inherit stability property of the exact solution. More precisely, the methods are mean-square stable for any stepsize when , and they are exponentially mean-square stable if the stepsize when . Finally, some numerical experiments are given to illustrate the theoretical results.

Date: 2012
References: Add references at CitEc
Citations:

Downloads: (external link)
http://downloads.hindawi.com/journals/AAA/2012/831082.pdf (application/pdf)
http://downloads.hindawi.com/journals/AAA/2012/831082.xml (text/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlaaa:831082

DOI: 10.1155/2012/831082

Access Statistics for this article

More articles in Abstract and Applied Analysis from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().