Convergence and stability of the exponential Euler method for semi-linear stochastic delay differential equations

Convergence and stability of the exponential Euler method for semi-linear stochastic delay differential equations

Abstract The main purpose of this paper is to investigate the strong convergence and exponential stability in mean square of the exponential Euler method to semi-linear stochastic delay differential equations (SLSDDEs). It is proved that the exponential Euler approximation solution converges to the...

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Bibliographic Details
Main Author: Ling Zhang
Format: Article
Language:English
Published: SpringerOpen 2017-10-01
Series:Journal of Inequalities and Applications
Subjects:
stochastic delay differential equation
exponential Euler method
Lipschitz condition
Itô formula
strong convergence
Online Access:http://link.springer.com/article/10.1186/s13660-017-1518-5

Internet

http://link.springer.com/article/10.1186/s13660-017-1518-5

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