NDLI: Almost sure and moment exponential stability of Euler-Maruyama method for non-autonomous stochastic differential equations

Content Provider	IEEE Xplore Digital Library
Author	Mo Haoyi Deng Feiqi Ren Hongwei
Copyright Year	2015
Description	Author affiliation: Syst. Eng. Inst., South China Univ. of Technol., Guangzhou, China (Mo Haoyi; Deng Feiqi; Ren Hongwei)
Abstract	For autonomous stochastic differential equations (SDEs), it has been shown that the Euler-Maruyama (EM) method produces almost sure exponential stability and moment exponential stability of SDEs under some conditions which include the linear growth condition. In this work, we extend these results to non-autonomous SDEs, and prove that the exact solution is almost sure exponential stability and moment exponential stability under the local linear growth condition which is weaker than the linear growth condition. It is shown that the EM method maintains corresponding stability. A numerical example is presented to illustrate the effectiveness of this result.
Starting Page	1655
Ending Page	1659
File Size	227230
Page Count	5
File Format	PDF
ISBN	9789881563897
ISSN	19341768
DOI	10.1109/ChiCC.2015.7259884
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2015-07-28
Publisher Place	China
Access Restriction	Subscribed
Rights Holder	Technical Committee on Control Theory, Chinese Association of Automation
Subject Keyword	Euler-Maruyama method Asymptotic stability Linear growth condition Non-autonomous stochastic differential equation Stochastic processes Differential equations Moment exponential stability Stability analysis Control theory Almost sure exponential stability Numerical stability
Content Type	Text
Resource Type	Article

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