کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4638560 | 1632009 | 2015 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Almost sure exponential stability of the backward Euler–Maruyama scheme for stochastic delay differential equations with monotone-type condition
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Almost sure exponential stability of the backward Euler–Maruyama scheme for stochastic delay differential equations with monotone-type condition Almost sure exponential stability of the backward Euler–Maruyama scheme for stochastic delay differential equations with monotone-type condition](/preview/png/4638560.png)
چکیده انگلیسی
This paper is a continuation of our previous paper, in which, the second author, with Mao and Szpruch examined the almost sure stability of the Euler–Maruyama (EM) and the backward Euler–Maruyama (BEM) methods for stochastic delay differential equations (SDDEs). In the previous results, although the drift coefficient may defy the linear growth condition, the diffusion coefficient is required to satisfy the linear growth condition. In this paper we want to further relax the condition. Under monotone-type condition, this paper will give the almost sure stability of the BEM for SDDEs whose both drift and diffusion coefficients may defy the linear condition. This improves the existing results considerably.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 282, July 2015, Pages 44–53
Journal: Journal of Computational and Applied Mathematics - Volume 282, July 2015, Pages 44–53
نویسندگان
Lin Chen, Fuke Wu,