Mean-square stability of analytic solution and Euler-Maruyama method for impulsive stochastic differential equations

Guihua Zhao; Minghui Song; Zhanwen Yang

doi:10.1016/j.amc.2014.11.098

Mean-square stability of analytic solution and Euler-Maruyama method for impulsive stochastic differential equations

Guihua Zhao^*
, Minghui Song
, Zhanwen Yang

^*Corresponding author for this work

School of Mathematics

Jiangsu University of Science and Technology

Research output: Contribution to journal › Article › peer-review

8 Scopus citations

Abstract

From the view of algebra, the mean-square stability of analytic solutions and numerical solutions for impulsive stochastic differential equations are considered. By the logarithmic norm, the conditions under which the analytic and numerical solutions for a linear impulsive stochastic differential equation are mean-square stable (MS-stable) respectively are obtained. The conditions are simple and easy to use. Some numerical experiments are given to illustrate the results.

Original language	English
Pages (from-to)	527-538
Number of pages	12
Journal	Applied Mathematics and Computation
Volume	251
DOIs	https://doi.org/10.1016/j.amc.2014.11.098
State	Published - 15 Jan 2015

Keywords

Euler-Maruyama method
Impulsive
MS-stable
Stochastic differential equation

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10.1016/j.amc.2014.11.098

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title = "Mean-square stability of analytic solution and Euler-Maruyama method for impulsive stochastic differential equations",

abstract = "From the view of algebra, the mean-square stability of analytic solutions and numerical solutions for impulsive stochastic differential equations are considered. By the logarithmic norm, the conditions under which the analytic and numerical solutions for a linear impulsive stochastic differential equation are mean-square stable (MS-stable) respectively are obtained. The conditions are simple and easy to use. Some numerical experiments are given to illustrate the results.",

keywords = "Euler-Maruyama method, Impulsive, MS-stable, Stochastic differential equation",

author = "Guihua Zhao and Minghui Song and Zhanwen Yang",

note = "Publisher Copyright: {\textcopyright} 2014 Elsevier Inc.",

year = "2015",

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T1 - Mean-square stability of analytic solution and Euler-Maruyama method for impulsive stochastic differential equations

AU - Zhao, Guihua

AU - Song, Minghui

AU - Yang, Zhanwen

PY - 2015/1/15

Y1 - 2015/1/15

N2 - From the view of algebra, the mean-square stability of analytic solutions and numerical solutions for impulsive stochastic differential equations are considered. By the logarithmic norm, the conditions under which the analytic and numerical solutions for a linear impulsive stochastic differential equation are mean-square stable (MS-stable) respectively are obtained. The conditions are simple and easy to use. Some numerical experiments are given to illustrate the results.

AB - From the view of algebra, the mean-square stability of analytic solutions and numerical solutions for impulsive stochastic differential equations are considered. By the logarithmic norm, the conditions under which the analytic and numerical solutions for a linear impulsive stochastic differential equation are mean-square stable (MS-stable) respectively are obtained. The conditions are simple and easy to use. Some numerical experiments are given to illustrate the results.

KW - Euler-Maruyama method

KW - Impulsive

KW - MS-stable

KW - Stochastic differential equation

UR - https://www.scopus.com/pages/publications/84918500940

U2 - 10.1016/j.amc.2014.11.098

DO - 10.1016/j.amc.2014.11.098

M3 - 文章

AN - SCOPUS:84918500940

SN - 0096-3003

VL - 251

SP - 527

EP - 538

JO - Applied Mathematics and Computation

JF - Applied Mathematics and Computation

ER -

Mean-square stability of analytic solution and Euler-Maruyama method for impulsive stochastic differential equations

Abstract

Keywords

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