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

被引：9
|
作者：
Zhao, Guihua [1 ]
Song, Minghui [2 ]
Yang, Zhanwen [2 ]
机构：
[1] Jiangsu Univ Sci & Technol, Dept Math, Zhenjiang 212003, Peoples R China
[2] Harbin Inst Technol, Dept Math, Harbin 150001, Peoples R China
来源：
APPLIED MATHEMATICS AND COMPUTATION | 2015年 / 251卷
关键词：
Stochastic differential equation; Impulsive; Euler-Maruyama method; MS-stable; NUMERICAL-SOLUTION; CONVERGENCE;
D O I：
10.1016/j.amc.2014.11.098
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
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. (C) 2014 Elsevier Inc. All rights reserved.
引用
收藏
页码：527 / 538
页数：12
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