Exponential stability of modified truncated EM method for stochastic differential equations
Guangqiang Lan, Fang Xia
TL;DR
This paper investigates the exponential stability of a modified truncated Euler-Maruyama numerical method for stochastic differential equations, providing conditions for stability and supporting examples.
Contribution
It introduces new stability conditions for the modified truncated EM method, enhancing understanding of its exponential stability properties.
Findings
Conditions for $p$-th moment exponential stability
Conditions for almost sure exponential stability
Numerical example supporting theoretical results
Abstract
Exponential stability of modified truncated Euler-Maruyama method for stochastic differential equations are investigated in this paper. Sufficient conditions for the -th moment and almost sure exponential stability of the given numerical method are presented. An example is provided to support our conclusions.
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Taxonomy
TopicsStochastic processes and financial applications · Differential Equations and Numerical Methods · Probabilistic and Robust Engineering Design