pth moment (p∈(0,1)) and almost sure exponential stability of the exact solutions and modified truncated EM method for stochastic differential equations

Guangqiang Lan, Fang Xia and Mei Zhao

Statistics & Probability Letters, 2020, vol. 160, issue C

Abstract: Exponential stability of exact solutions and modified truncated Euler–Maruyama method for stochastic differential equations are investigated in this paper. Sufficient conditions for the pth moment (p∈(0,1)) and almost sure exponential stability of both the exact solution and the given numerical method are presented. An example is provided to support our conclusions.

Keywords: Stochastic differential equations; Modified truncated Euler–Maruyama method; pth moment exponential stability; Almost sure exponential stability (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spl.2020.108701

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