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arXiv · 1704.03158

Exponential stability of modified truncated EM method for stochastic differential equations

Guangqiang Lan·Fang Xia
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Abstract

Exponential stability of modified truncated Euler-Maruyama method for stochastic differential equations are investigated in this paper. Sufficient conditions for the $p$-th moment and almost sure exponential stability of the given numerical method are presented. An example is provided to support our conclusions.

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Guangqiang Lan, Fang Xia. 2017-04-11. Exponential stability of modified truncated EM method for stochastic differential equations. https://arxiv.org/abs/1704.03158

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