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Equivalence of pth moment stability between stochastic differential delay equations and their numerical methods
Zhenyu Bao, Jingwen Tang, Yan Shen +1
In this paper, a general theorem on the equivalence of pth moment stability between stochastic differential delay equations (SDDEs) and their numerical methods is proved under the…
math.NA2019
Semi-implicit Euler-Maruyama method for non-linear time-changed stochastic differential equations
Chang-Song Deng, Wei Liu
The semi-implicit Euler-Maruyama (EM) method is investigated to approximate a class of time-changed stochastic differential equations, whose drift coefficient can grow super-linear…