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.
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页码：463 / 478
页数：16
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