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Convergence and Stability of the Truncated Euler-Maruyama Method for Stochastic Differential Equations with Piecewise Continuous Arguments

文献类型：期刊论文

作者Geng, Yidan2; Song, Minghui2; Lu, Yulan1; Liu, Mingzhu2
刊名NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS
出版日期2021-02-01
卷号14期号:1页码:194-218
ISSN号1004-8979
关键词Stochastic differential equations with piecewise continuous argument local Lipschitz condition Khasminskii-type condition truncated Euler-Maruyama method convergence and stability
DOI10.4208/nmtma.OA-2019-0108
英文摘要In this paper, we develop the truncated Euler-Maruyama (EM) method for stochastic differential equations with piecewise continuous arguments (SDEPCAs), and consider the strong convergence theory under the local Lipschitz condition plus the Khasminskii-type condition. The order of convergence is obtained. Moreover, we show that the truncated EM method can preserve the exponential mean square stability of SDEPCAs. Numerical examples are provided to support our conclusions.
资助项目National Natural Science Foundation of China[11671113] ; National Postdoctoral Program for Innovative Talents[BX20180347]
WOS研究方向Mathematics
语种英语
出版者GLOBAL SCIENCE PRESS
WOS记录号WOS:000595073600008
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/52534]  
专题中国科学院数学与系统科学研究院
通讯作者Song, Minghui
作者单位1.Chinese Acad Sci, Acad Math & Syst Sci, Inst Computat Math & Sci Engn Comp, Beijing 100190, Peoples R China
2.Harbin Inst Technol, Dept Math, Harbin 150001, Peoples R China
推荐引用方式
GB/T 7714		 Geng, Yidan,Song, Minghui,Lu, Yulan,et al. Convergence and Stability of the Truncated Euler-Maruyama Method for Stochastic Differential Equations with Piecewise Continuous Arguments[J]. NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS,2021,14(1):194-218.
APA Geng, Yidan,Song, Minghui,Lu, Yulan,&Liu, Mingzhu.(2021).Convergence and Stability of the Truncated Euler-Maruyama Method for Stochastic Differential Equations with Piecewise Continuous Arguments.NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS,14(1),194-218.
MLA Geng, Yidan,et al."Convergence and Stability of the Truncated Euler-Maruyama Method for Stochastic Differential Equations with Piecewise Continuous Arguments".NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS 14.1(2021):194-218.

入库方式： OAI收割

来源：数学与系统科学研究院

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