Mean-square stability of analytic solution and Euler–Maruyama method for impulsive stochastic differential equations

Guihua Zhao, Minghui Song and Zhanwen Yang

Applied Mathematics and Computation, 2015, vol. 251, issue C, 527-538

Abstract: From the view of algebra, the mean-square stability of analytic solutions and numerical solutions for impulsive stochastic differential equations are considered. By the logarithmic norm, the conditions under which the analytic and numerical solutions for a linear impulsive stochastic differential equation are mean-square stable (MS-stable) respectively are obtained. The conditions are simple and easy to use. Some numerical experiments are given to illustrate the results.

Keywords: Stochastic differential equation; Impulsive; Euler–Maruyama method; MS-stable (search for similar items in EconPapers)
Date: 2015
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0096300314016300
Full text for ScienceDirect subscribers only

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:eee:apmaco:v:251:y:2015:i:c:p:527-538

DOI: 10.1016/j.amc.2014.11.098

Access Statistics for this article

Applied Mathematics and Computation is currently edited by Theodore Simos

More articles in Applied Mathematics and Computation from Elsevier
Bibliographic data for series maintained by Catherine Liu ().