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

Author

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  • Bao, Zhenyu
  • Tang, Jingwen
  • Shen, Yan
  • Liu, Wei

Abstract

The equivalence of pth (p>0) moment stability between stochastic differential delay equations and their numerical methods is studied under the assumptions that the numerical methods are strongly convergent and have the bounded pth moment in the finite time.

Suggested Citation

  • Bao, Zhenyu & Tang, Jingwen & Shen, Yan & Liu, Wei, 2021. "Equivalence of pth moment stability between stochastic differential delay equations and their numerical methods," Statistics & Probability Letters, Elsevier, vol. 168(C).
    • Handle: RePEc:eee:stapro:v:168:y:2021:i:c:s0167715220302558
    DOI: 10.1016/j.spl.2020.108952
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    References listed on IDEAS

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    1. Zhang, Wei & Yin, Xunbo & Song, M.H. & Liu, M.Z., 2019. "Convergence rate of the truncated Milstein method of stochastic differential delay equations," Applied Mathematics and Computation, Elsevier, vol. 357(C), pages 263-281.
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