Exponential stability of modified truncated EM method for stochastic differential equations

Abstract

Exponential stability of modified truncated Euler-Maruyama method for stochastic differential equations are investigated in this paper. Sufficient conditions for the $p$-th moment and almost sure exponential stability of the given numerical method are presented. An example is provided to support our conclusions.

11 pages

References in corpus (1)

• Strong convergence rates of modified truncated EM method for stochastic differential equations

Cited by in corpus (1)

• Polynomial stability of exact solution and a numerical method for stochastic differential equations with time-dependent delay