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Stability of Analytical and Numerical Solutions for Nonlinear Stochastic Delay Differential Equations with Jumps
Joint Authors
Source
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-13, 13 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-02-25
Country of Publication
Egypt
No. of Pages
13
Main Subjects
Abstract EN
This paper is concerned with the stability of analytical and numerical solutions for nonlinear stochastic delay differential equations (SDDEs) with jumps.
A sufficient condition for mean-square exponential stability of the exact solution is derived.
Then, mean-square stability of the numerical solution is investigated.
It is shown that the compensated stochastic θ methods inherit stability property of the exact solution.
More precisely, the methods are mean-square stable for any stepsize Δt=τ/m when 1/2≤θ≤1, and they are exponentially mean-square stable if the stepsize Δt∈(0,Δt0) when 0≤θ<1.
Finally, some numerical experiments are given to illustrate the theoretical results.
American Psychological Association (APA)
Li, Qiyong& Gan, Siqing. 2012. Stability of Analytical and Numerical Solutions for Nonlinear Stochastic Delay Differential Equations with Jumps. Abstract and Applied Analysis،Vol. 2012, no. 2012, pp.1-13.
https://search.emarefa.net/detail/BIM-501627
Modern Language Association (MLA)
Li, Qiyong& Gan, Siqing. Stability of Analytical and Numerical Solutions for Nonlinear Stochastic Delay Differential Equations with Jumps. Abstract and Applied Analysis No. 2012 (2012), pp.1-13.
https://search.emarefa.net/detail/BIM-501627
American Medical Association (AMA)
Li, Qiyong& Gan, Siqing. Stability of Analytical and Numerical Solutions for Nonlinear Stochastic Delay Differential Equations with Jumps. Abstract and Applied Analysis. 2012. Vol. 2012, no. 2012, pp.1-13.
https://search.emarefa.net/detail/BIM-501627
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-501627