Almost sure and moment exponential stability of Euler-Maruyama method for non-autonomous stochastic differential equations

被引：0

作者：

Mo Haoyi ^{[1
,2
]}

Deng Feiqi ^{[1
]}

Ren Hongwei ^{[1
]}

机构：

[1] South China Univ Technol, Syst Engn Inst, Guangzhou 510006, Guangdong, Peoples R China

[2] Guangdong Univ Technol, Sch Appl Math, Guangzhou 510006, Guangdong, Peoples R China

来源：

2015 34TH CHINESE CONTROL CONFERENCE (CCC) | 2015年

关键词：

Non-autonomous stochastic differential equation; Euler-Maruyama method; Almost sure exponential stability; Moment exponential stability; Linear growth condition; MEAN-SQUARE STABILITY; THETA-METHOD;

D O I：

暂无

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

For autonomous stochastic differential equations (SDEs), it has been shown that the Euler-Maruyama (EM) method produces almost sure exponential stability and moment exponential stability of SDEs under some conditions which include the linear growth condition. In this work, we extend these results to non-autonomous SDEs, and prove that the exact solution is almost sure exponential stability and moment exponential stability under the local linear growth condition which is weaker than the linear growth condition. It is shown that the EM method maintains corresponding stability. A numerical example is presented to illustrate the effectiveness of this result.

引用

页码：1655 / 1659

页数：5

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