Convergence and Stability of the Truncated Euler-Maruyama Method for Stochastic Differential Equations with Piecewise Continuous Arguments

doi:10.4208/nmtma.OA-2019-0108

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	Convergence and Stability of the Truncated Euler-Maruyama Method for Stochastic Differential Equations with Piecewise Continuous Arguments
	Geng, Yidan 1; Song, Minghui 1; Lu, Yulan 2; Liu, Mingzhu 1
	2021-02-01
发表期刊	NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS
ISSN	1004-8979
卷号	14 期号:1 页码:194-218
摘要	In this paper, we develop the truncated Euler-Maruyama (EM) method for stochastic differential equations with piecewise continuous arguments (SDEPCAs), and consider the strong convergence theory under the local Lipschitz condition plus the Khasminskii-type condition. The order of convergence is obtained. Moreover, we show that the truncated EM method can preserve the exponential mean square stability of SDEPCAs. Numerical examples are provided to support our conclusions.
关键词	Stochastic differential equations with piecewise continuous argument local Lipschitz condition Khasminskii-type condition truncated Euler-Maruyama method convergence and stability
DOI	10.4208/nmtma.OA-2019-0108
收录类别	SCI
语种	英语
资助项目	National Natural Science Foundation of China[11671113] ; National Postdoctoral Program for Innovative Talents[BX20180347]
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied ; Mathematics
WOS记录号	WOS:000595073600008
出版者	GLOBAL SCIENCE PRESS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/52535
专题	中国科学院数学与系统科学研究院
通讯作者	Song, Minghui
作者单位	1.Harbin Inst Technol, Dept Math, Harbin 150001, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Inst Computat Math & Sci Engn Comp, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Geng, Yidan,Song, Minghui,Lu, Yulan,et al. Convergence and Stability of the Truncated Euler-Maruyama Method for Stochastic Differential Equations with Piecewise Continuous Arguments[J]. NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS,2021,14(1):194-218.
APA	Geng, Yidan,Song, Minghui,Lu, Yulan,&Liu, Mingzhu.(2021).Convergence and Stability of the Truncated Euler-Maruyama Method for Stochastic Differential Equations with Piecewise Continuous Arguments.NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS,14(1),194-218.
MLA	Geng, Yidan,et al."Convergence and Stability of the Truncated Euler-Maruyama Method for Stochastic Differential Equations with Piecewise Continuous Arguments".NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS 14.1(2021):194-218.