[PDF] Top 20 Almost sure exponential stability of backward Euler–Maruyama discretizations for hybrid stochastic differential equations
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Almost sure exponential stability of backward Euler–Maruyama discretizations for hybrid stochastic differential equations
... dx(t) = [α(r(t))x(t) − x 3 (t)]dt + β(r(t))x(t)dB(t), (1.1) where B(t) is a scalar Brownian motion, r(t) is a Markov chain and the parameters α( · ) and β( · ) will be specified in Section 3. We will show that this SDE ... See full document
23
Exponential stability of the Euler-Maruyama method for neutral stochastic functional differential equations with jumps
... The exponential stability of trivial solution and the numerical solution for neutral stochastic func- tional differential equations (NSFDEs) with jumps is ...The stability includes the ... See full document
16
Stability of two classes of improved backward Euler methods for stochastic delay differential equations of neutral type
... Mean-square stability analysis of numerical solution for system of stochastic differen- tial equations (SDEs) is one of the key problems in stochastic analysis (see [8], [17] and ...on ... See full document
13
Discrete Razumikhin-type technique and stability of the Euler-Maruyama method to stochastic functional differential equations
... The stability analysis of numerical methods for stochastic dif- ferential equations (SDEs) has received increasing attention in recent ...of stochastic factors, stability here means ... See full document
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Almost sure exponential stability in the numerical simulation of stochastic differential equations
... where stochastic stability means exponential stability in mean square, results that answer (Q1) and (Q2) for scalar, linear systems can be found in [7, 20, ...the stability of numerical ... See full document
20
Almost sure exponential stability of an explicit stochastic orthogonal Runge Kutta Chebyshev method for stochastic delay differential equations
... about almost sure stabil- ity of Runge-Kutta type methods for SDDEs, and nearly all existing results concerned with Euler-Maruyama type ...the almost sure stability of the ... See full document
8
Convergence and stability of the exponential Euler method for semi linear stochastic delay differential equations
... Most stochastic dif- ferential equations (SDEs) are nonlinear and cannot be solved explicitly, whence numerical solutions are required in ...gave almost sure and moment exponential ... See full document
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Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
... the stability analysis of the under- lying numerical scheme for the non-linear SDEs ...investigate almost surely asymptotic properties of the numerical schemes for SDEs ...a stochastic version of the ... See full document
21
Almost sure exponential stability of the Euler–Maruyama approximations for stochastic functional differential equations
... the Euler–Maruyama (EM) approxi- mations of stochastic functional differential equations (SFDEs) can share the almost sure exponential stability of the exact ... See full document
22
Almost sure and moment exponential stability of Euler-Maruyama discretizations for hybrid stochastic differential equations
... Recently, models that switch between different SDE systems according to an inde- pendent Markov chain have been proposed. These hybrid SDEs are designed to account for circumstances where an abrupt change may take ... See full document
21
The almost sure stability of coupled system of stochastic delay differential equations on networks
... of stochastic differential equations with variable delays (CSDDEs) on ...the almost sure stability of sample solutions and the sufficient principles to locate their limit sets, which ... See full document
22
On One Step Method of Euler Maruyama Type for Solution of Stochastic Differential Equations Using Varying Stepsizes
... X t = X + ∫ f s X s s + ∫ g s X s Ws (4) The first integral at the right hand side of Equation (4) is called Riemman integral while the second integral is called Itô or stochastic integral. Many researchers have ... See full document
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Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
... dx(t) = (x(t) − x 3 (t))dt + |x(t)| 3/2 dB(t), (3.18) where B (t) is a scalar Brownian motion. This is a specified Lewis stochastic volatility model [19]. The reason we only consider this specified model is to ... See full document
19
Equivalence of the mean square stability between the partially truncated Euler–Maruyama method and stochastic differential equations with super linear growing coefficients
... For stochastic differential equations (SDEs) whose drift and diffusion coefficients can grow super-linearly, the equivalence of the asymptotic mean square stability between the underlying SDEs and the ... See full document
15
On the almost sure running maxima of solutions of affine stochastic functional differential equations
... linear stochastic functional differential ...special stochastic delay differential equations (SDDEs) with fixed delays, with their results having particular application to population ...differential ... See full document
33
Multi-level Monte Carlo methods with the truncated Euler-Maruyama scheme for stochastic differential equations
... Stochastic differential equations (SDEs) have been broadly discussed and applied as a powerful tool to capture the uncertain phenomenon in the evolution of systems in many areas ... See full document
12
Almost Sure Exponential Stability of Nonlinear Stochastic Delayed Systems with Markovian Switching and L´evy Noises
... a hybrid system with state vector that has two ...Nowadays, stability analysis for jump diffusion systems with Markovian switching( [7], [14], [15], [19], [22], [27]) or hybrid systems with jump( ... See full document
8
On almost sure stability of hybrid stochastic systems with mode-dependent interval delays
... that almost all sample paths of r(t) are right-continuous step functions with a finite number of simple jumps in any finite subinterval of R + := [0; 1) ... See full document
5
Convergence rate and stability of the truncated Euler-Maruyama method for stochastic differential equations
... of Y ¯ N ∆ achieving the accuracy 0.0003347 on our computer with Intel Core i3-4170 CPU 3.70 GHz, is about 0.05018 s while the runtime of X N ∆ achieving the accuracy 0.000241 is about 0.03839 s (see the enlargement in ... See full document
16
Almost sure exponential stability of hybrid stochastic functional differential equations
... We do not know if (3.2) is equivalent to (3.4) under this assumption yet. In this paper, we will show that condition (2.3) and Assumptions 3.1 and 3.2 are sufficient to guarantee the almost sure ... See full document
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