Strong convergence and exponential stability of stochastic differential equations with piecewise continuous arguments for non-globally Lipschitz continuous coefficients

Huizi Yang, Minghui Song and Mingzhu Liu

Applied Mathematics and Computation, 2019, vol. 341, issue C, 111-127

Abstract: The paper deals with a split-step θ-method for stochastic differential equations with piecewise continuous arguments (SEPCAs). The strong convergence of the method is proved under non-globally Lipschitz conditions. The exponential stability of the exact and numerical solutions is obtained. Some experiments are given to illustrate the conclusions.

Keywords: Stochastic differential equations with piecewise continuous arguments (SEPCA); Split-step θ-method; Strong convergence; Exponential stability (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:341:y:2019:i:c:p:111-127

DOI: 10.1016/j.amc.2018.08.037

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