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arXiv · 1801.04517

Polynomial stability of exact solution and a numerical method for stochastic differential equations with time-dependent delay

Guangqiang Lan·Fang Xia·Qiushi Wang
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Abstract

Polynomial stability of exact solution and modified truncated Euler-Maruyama method for stochastic differential equations with time-dependent delay are investigated in this paper. By using the well known discrete semimartingale convergence theorem, sufficient conditions are obtained for both bounded and unbounded delay $\delta$ to ensure the polynomial stability of the corresponding numerical approximation. Examples are presented to illustrate the conclusion.

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Guangqiang Lan, Fang Xia, Qiushi Wang. 2018-01-14. Polynomial stability of exact solution and a numerical method for stochastic differential equations with time-dependent delay. https://arxiv.org/abs/1801.04517

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