The moment exponential stability criterion of nonlinear hybrid stochastic differential equations and its discrete approximations
文献类型：期刊论文
| 作者 | Zong, Xiaofeng1; Wu, Fuke2; Huang, Chengming2 |
| 刊名 | PROCEEDINGS OF THE ROYAL SOCIETY OF EDINBURGH SECTION A-MATHEMATICS
 |
| 出版日期 | 2016-12-01 |
| 卷号 | 146期号:6页码:1303-1328 |
| 关键词 | hybrid SDEs moment exponential stability Markov chain Euler-Maruyama approximation backward Euler-Maruyama approximation split-step backward Euler-Maruyama approximation |
| ISSN号 | 0308-2105 |
| DOI | 10.1017/S030821051500089X |
| 英文摘要 | Based on the martingale theory and large deviation techniques, we investigate the pth moment exponential stability criterion of the exact and numerical solutions to hybrid stochastic differential equations (SDEs) under the local Lipschitz condition. This new stability criterion shows that Markovian switching can serve as a stochastic stabilizing factor by its logarithmic moment-generating function. We also investigate the pth moment exponential stability of Euler-Maruyama (EM), backward EM (BEM) and split-step backward EM (SSBEM) approximations for hybrid SDEs and show that, under the additional linear growth condition, the EM method can share the mean-square exponential stability of the exact solution for sufficiently small step size. However, the BEM method can work without the linear growth condition. We further investigate the SSBEM method under a coupled condition. |
| 资助项目 | China Postdoctoral Science Foundation[2015M571146] ; National Science Foundation of China[61473125] ; National Science Foundation of China[11422110] ; National Natural Science Foundation of China[11371157] ; National Natural Science Foundation of China[91130003] |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000388874800008 |
| 出版者 | CAMBRIDGE UNIV PRESS |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/24243]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Zong, Xiaofeng |
| 作者单位 | 1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 2.Huazhong Univ Sci & Technol, Sch Math & Stat, Wuhan 430074, Hubei, Peoples R China |
| 推荐引用方式 GB/T 7714 | Zong, Xiaofeng,Wu, Fuke,Huang, Chengming. The moment exponential stability criterion of nonlinear hybrid stochastic differential equations and its discrete approximations[J]. PROCEEDINGS OF THE ROYAL SOCIETY OF EDINBURGH SECTION A-MATHEMATICS,2016,146(6):1303-1328. |
| APA | Zong, Xiaofeng,Wu, Fuke,&Huang, Chengming.(2016).The moment exponential stability criterion of nonlinear hybrid stochastic differential equations and its discrete approximations.PROCEEDINGS OF THE ROYAL SOCIETY OF EDINBURGH SECTION A-MATHEMATICS,146(6),1303-1328. |
| MLA | Zong, Xiaofeng,et al."The moment exponential stability criterion of nonlinear hybrid stochastic differential equations and its discrete approximations".PROCEEDINGS OF THE ROYAL SOCIETY OF EDINBURGH SECTION A-MATHEMATICS 146.6(2016):1303-1328. |
入库方式： OAI收割
来源：数学与系统科学研究院
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