MEAN-SQUARE EXPONENTIAL DICHOTOMY OF NUMERICAL SOLUTIONS TO STOCHASTIC DIFFERENTIAL EQUATIONS

被引：3

作者：

Zhu, Hailong ^{[1
,2
]}

Chu, Jifeng ^{[2
]}

机构：

[1] Anhui Univ Finance & Econ, Sch Stat & Appl Math, Bengbu 233030, Peoples R China

[2] Hohai Univ, Coll Sci, Dept Math, Nanjing 210098, Jiangsu, Peoples R China

来源：

JOURNAL OF APPLIED ANALYSIS AND COMPUTATION | 2016年 / 6卷 / 02期

基金：

中国国家自然科学基金;

关键词：

Mean-square exponential dichotomy; Euler-Maruyama method; stochastic differential equation; STABILITY; SIMULATION;

D O I：

10.11948/2016034

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We present the ability of numerical simulations to reproduce the mean-square exponential dichotomy of stochastic differential equations. Under some conditions, we show that the mean-square exponential dichotomy of stochastic differential equations is equivalent to that of the numerical method for sufficient small step sizes.

引用

页码：463 / 478

页数：16

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