KMS Of Academy of mathematics and systems sciences, CAS
| Convergence and Stability of the Truncated Euler-Maruyama Method for Stochastic Differential Equations with Piecewise Continuous Arguments | |
| Geng, Yidan1; Song, Minghui1; Lu, Yulan2; Liu, Mingzhu1 | |
| 2021-02-01 | |
| Source Publication | NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS
 |
| ISSN | 1004-8979 |
| Volume | 14Issue:1Pages:194-218 |
| Abstract | 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. |
| Keyword | 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 |
| Indexed By | SCI |
| Language | 英语 |
| Funding Project | National Natural Science Foundation of China[11671113] ; National Postdoctoral Program for Innovative Talents[BX20180347] |
| WOS Research Area | Mathematics |
| WOS Subject | Mathematics, Applied ; Mathematics |
| WOS ID | WOS:000595073600008 |
| Publisher | GLOBAL SCIENCE PRESS |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/52535 |
| Collection | 中国科学院数学与系统科学研究院 |
| Corresponding Author | Song, Minghui |
| Affiliation | 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 |
| Recommended Citation 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. |
| Files in This Item: | There are no files associated with this item. | |||||
Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.
Edit Comment