Exponential stability of equidistant Euler-Maruyama approximations of stochastic differential delay equations

Journal of Computational and Applied Mathematics

Volumn 200, Issue 1, 2007, Pages 297-316

  Mao, Xuerong ^a  

^a UNIVERSITY OF STRATHCLYDE   (United Kingdom)

Author keywords

Brownian motion; Euler Maruyama's method; Exponential stability; It 's formula; Mean square stability; Stochastic flow

Indexed keywords

APPROXIMATION THEORY; ASYMPTOTIC STABILITY; BROWNIAN MOVEMENT; COMPUTATIONAL METHODS; CONVERGENCE OF NUMERICAL METHODS; FUNCTIONS; INTEGRATION; RANDOM PROCESSES;

ASYMPTOTIC PROBLEMS; EULER MARUYAMA APPROXIMATIONS; EULER MARUYAMA'S METHOD; EXPONENTIAL STABILITY; LYAPUNOV FUNCTIONS; MEAN SQUARE STABILITY; STOCHASTIC DIFFERENTIAL DELAY EQUATION (SDDE); STOCHASTIC FLOW;

DIFFERENTIAL EQUATIONS;

EID: 33750933459     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cam.2005.11.035     Document Type: Article

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