Strong convergence and exponential stability of stochastic differential equations with piecewise continuous arguments for non-globally Lipschitz continuous coefficients

Huizi Yang; Minghui Song; Mingzhu Liu

doi:10.1016/j.amc.2018.08.037

Strong convergence and exponential stability of stochastic differential equations with piecewise continuous arguments for non-globally Lipschitz continuous coefficients

Huizi Yang
, Minghui Song^*
, Mingzhu Liu

^*Corresponding author for this work

School of Mathematics

Ludong University
Harbin Institute of Technology

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

10 Scopus citations

Abstract

The paper deals with a split-step θ-method for stochastic differential equations with piecewise continuous arguments (SEPCAs). The strong convergence of the method is proved under non-globally Lipschitz conditions. The exponential stability of the exact and numerical solutions is obtained. Some experiments are given to illustrate the conclusions.

Original language	English
Pages (from-to)	111-127
Number of pages	17
Journal	Applied Mathematics and Computation
Volume	341
DOIs	https://doi.org/10.1016/j.amc.2018.08.037
State	Published - 15 Jan 2019

Keywords

Exponential stability
Split-step θ-method
Stochastic differential equations with piecewise continuous arguments (SEPCA)
Strong convergence

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10.1016/j.amc.2018.08.037

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title = "Strong convergence and exponential stability of stochastic differential equations with piecewise continuous arguments for non-globally Lipschitz continuous coefficients",

abstract = "The paper deals with a split-step θ-method for stochastic differential equations with piecewise continuous arguments (SEPCAs). The strong convergence of the method is proved under non-globally Lipschitz conditions. The exponential stability of the exact and numerical solutions is obtained. Some experiments are given to illustrate the conclusions.",

keywords = "Exponential stability, Split-step θ-method, Stochastic differential equations with piecewise continuous arguments (SEPCA), Strong convergence",

author = "Huizi Yang and Minghui Song and Mingzhu Liu",

note = "Publisher Copyright: {\textcopyright} 2018 Elsevier Inc.",

year = "2019",

month = jan,

day = "15",

doi = "10.1016/j.amc.2018.08.037",

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journal = "Applied Mathematics and Computation",

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T1 - Strong convergence and exponential stability of stochastic differential equations with piecewise continuous arguments for non-globally Lipschitz continuous coefficients

AU - Yang, Huizi

AU - Song, Minghui

AU - Liu, Mingzhu

PY - 2019/1/15

Y1 - 2019/1/15

N2 - The paper deals with a split-step θ-method for stochastic differential equations with piecewise continuous arguments (SEPCAs). The strong convergence of the method is proved under non-globally Lipschitz conditions. The exponential stability of the exact and numerical solutions is obtained. Some experiments are given to illustrate the conclusions.

AB - The paper deals with a split-step θ-method for stochastic differential equations with piecewise continuous arguments (SEPCAs). The strong convergence of the method is proved under non-globally Lipschitz conditions. The exponential stability of the exact and numerical solutions is obtained. Some experiments are given to illustrate the conclusions.

KW - Exponential stability

KW - Split-step θ-method

KW - Stochastic differential equations with piecewise continuous arguments (SEPCA)

KW - Strong convergence

UR - https://www.scopus.com/pages/publications/85053802202

U2 - 10.1016/j.amc.2018.08.037

DO - 10.1016/j.amc.2018.08.037

M3 - 文章

AN - SCOPUS:85053802202

SN - 0096-3003

VL - 341

SP - 111

EP - 127

JO - Applied Mathematics and Computation

JF - Applied Mathematics and Computation

ER -

Strong convergence and exponential stability of stochastic differential equations with piecewise continuous arguments for non-globally Lipschitz continuous coefficients

Abstract

Keywords

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