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The rate of Lp-convergence for the Euler-Maruyama method of the stochastic differential equations with Markovian switching
Minghui Song, Yuhang Zhang, Mingzhu Liu
This work deals with the Euler-Maruyama (EM) scheme for stochastic differential equations with Markovian switching (SDEwMSs). We focus on the Lp-convergence rate (p is greater than…
math.NA2020
Stability equivalence among stochastic differential equations and stochastic differential equations with piecewise continuous arguments and corresponding Euler-Maruyama methods
Minghui Song, Yidan Geng, Mingzhu Liu
In this paper, we consider the equivalence of the th moment exponential stability for stochastic differential equations (SDEs), stochastic differential equations with piecewise…