Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5776320 | Journal of Computational and Applied Mathematics | 2017 | 25 Pages |
Abstract
In this paper, we consider the stochastic differential equations with piecewise continuous arguments (SDEPCAs) in which both the drift and the diffusion coefficients do not satisfy the global Lipschitz and linear growth conditions, especially the diffusion coefficients are highly non-linear growing. It is proved that the split-step theta (SST) method with θâ[12,1] is strongly convergent to SDEPCAs under the local Lipschitz, monotone and one-sided Lipschitz conditions. It is also obtained that the SST method with θâ(12,1] preserves the exponential mean square stability of SDEPCAs under the monotone condition and some condition on the step-size. Without any restriction on the step-size, there exists θââ(12,1] such that the SST method with θâ(θâ,1] is exponentially stable in mean square. Moreover, for sufficiently small step-size, the rate constant can be reproduced. Some numerical simulations are presented to illustrate the analytical theory.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Y.L. Lu, M.H. Song, M.Z. Liu,