Convergence and stability of an explicit method for nonlinear stochastic differential equations with piecewise continuous arguments

被引：0

作者：

Shi, Hongling ^{[1
]}

Song, Minghui ^{[1
]}

Liu, Mingzhu ^{[1
]}

机构：

[1] Harbin Inst Technol, Sch Math, Harbin 150001, Peoples R China

来源：

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2024年 / 438卷

关键词：

Local Lipschitz continuous; Superlinearly growing coefficients; Explicit method; Convergence rate; Mean square exponential stability; EULER-MARUYAMA METHOD; THETA METHOD; TIME; STABILIZATION;

D O I：

10.1016/j.cam.2023.115549

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper constructs a new explicit method for stochastic differential equations with piecewise continuous arguments (SDEPCAs), where the drift coefficients grow superlinearly and the diffusion coefficients have at most linear growth. We show that this method converges strongly with the convergence rate 1/2 to the exact solutions of SDEPCAs over the finite time interval and demonstrate it can inherit the mean square exponential stability of the underlying SDEPCAs. Several numerical experiments are carried out to support our findings.(c) 2023 Elsevier B.V. All rights reserved.

引用

页数：16

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