Choice of O and mean-square exponential stability in the stochastic theta method of stochastic differential equations

• Autores: Xiaofeng Zong, Fuke Wu
• Localización: Journal of computational and applied mathematics, ISSN 0377-0427, Vol. 255, Nº 1, 2014, págs. 837-847
• Idioma: inglés
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• Resumen

  • This paper examines the relationship of choice of �Æ and mean-square exponential stability in the stochastic theta method (STM) of stochastic differential equations (SDEs) and mainly includes the following three results: (i) under the linear growth condition for the drift term, when �Æ �¸ [0, 1/2), the STM may preserve the mean-square exponential stability of the exact solution, but the counterexample shows that the STM cannot reproduce this stability without this linear growth condition; (ii) when �Æ �¸ (1/2, 1), without the linear growth condition for the drift term, the STM may reproduce the mean-square exponential stability of the exact solution, but the bound of the Lyapunov exponent cannot be preserved;

    (iii) when �Æ = 1 (this STM is called as the backward Euler.Maruyama (BEM) method), the STM can reproduce not only the mean-square exponential stability, but also the bound of the Lyapunov exponent. This paper also gives the sufficient and necessary conditions of the mean-square exponential stability of the STM for the linear SDE when �Æ �¸ [0, 1/2) and �Æ �¸ [1/2, 1], respectively, and the simulations also illustrate these theoretical results.