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arXiv · 1907.13099

Equivalence of pth moment stability between stochastic differential delay equations and their numerical methods

Zhenyu Bao·Jingwen Tang·Yan Shen·Wei Liu
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Abstract

In this paper, a general theorem on the equivalence of pth moment stability between stochastic differential delay equations (SDDEs) and their numerical methods is proved under the assumptions that the numerical methods are strongly convergent and have the bouneded $p$th moment in the finite time. The truncated Euler-Maruyama (EM) method is studied as an example to illustrate that the theorem indeed covers a large ranges of SDDEs. Alongside the investigation of the truncated EM method, the requirements on the step size of the method are significantly released compared with the work, where the method was initially proposed.

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Zhenyu Bao, Jingwen Tang, Yan Shen, Wei Liu. 2019-07-28. Equivalence of pth moment stability between stochastic differential delay equations and their numerical methods. https://arxiv.org/abs/1907.13099

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