Almost sure and moment exponential stability of Euler-Maruyama discretizations for hybrid stochastic differential equations
- Author
- SULIN PANG1 ; FEIQI DENG2 ; XUERONG MAO3
[1] Department of Accountancy and Mathematics, Jinan University, Guangzhou, Guangdong 510632, China
[2] Systems Engineering Institute, South China University of Technology, Guangzhou, Guangdong 510640, China
[3] Department of Statistics and Modelling Science, University of Strathclyde, Glasgow Gl IXH, United Kingdom - Source
Journal of computational and applied mathematics. 2008, Vol 213, Num 1, pp 127-141, 15 p ; ref : 25 ref
- CODEN
- JCAMDI
- ISSN
- 0377-0427
- Scientific domain
- Computer science; Mathematics
- Publisher
- Elsevier, Amsterdam
- Publication country
- Netherlands
- Document type
- Article
- Language
- English
- Author keyword
- 65C30; 60H10; 60H35 Brownian motion; Euler-Maruyama; Markov chain; Exponential stability
- Keyword (fr)
- Analyse numérique Chaîne Markov Equation différentielle Equation intégrale Equation stochastique Mathématiques appliquées Mouvement brownien Méthode discrétisation Méthode stochastique Simulation numérique Stabilité numérique Système différentiel Système stochastique Système équation 34XX 65C30 65C40 65Lxx
- Keyword (en)
- Numerical analysis Markov chain Differential equation Integral equation Stochastic equation Applied mathematics Brownian motion Discretization method Stochastic method Numerical simulation Numerical stability Differential system Stochastic system Equation system
- Keyword (es)
- Análisis numérico Cadena Markov Ecuación diferencial Ecuación integral Ecuación estocástica Matemáticas aplicadas Movimiento browniano Método discretización Método estocástico Simulación numérica Estabilidad numérica Systema diferencial Sistema estocástico Sistema ecuación
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02E Mathematical analysis / 001A02E07 Ordinary differential equations
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02I Numerical analysis. Scientific computation / 001A02I01 Numerical analysis / 001A02I01I Ordinary differential equations
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02I Numerical analysis. Scientific computation / 001A02I01 Numerical analysis / 001A02I01Q Numerical methods in probability and statistics
- Discipline
- Mathematics
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 20049224
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1016/j.cam.2007.01.003 
https://dx.doi.org/10.1016/j.cam.2007.01.003
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