Stability of Balanced Implicit Method for Hybrid Stochastic Differential Equation

DOI

10.2991/msam-15.2015.75How to use a DOI?

Keywords

stochastic differential equation, balanced implicit method, markovian switching, moment exponentially stability

Abstract

The paper shows that the balanced implicit method reproduces the moment exponentially stable for hybrid stochastic differential equation. The balanced implicit method has better behavior of stability in comparison with the explicit Euler-Maruyama method. Experiments simulation indicates that the balanced implicit method may overcome unstability of the Euler-Maruyama method.

Copyright

© 2015, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Download article (PDF)

TY  - CONF
AU  - Sheng Xu
AU  - Baocang Xia
AU  - Shaobo Zhou
PY  - 2015/08
DA  - 2015/08
TI  - Stability of Balanced Implicit Method for Hybrid Stochastic Differential Equation
BT  - Proceedings of the 2015 International Conference on Modeling, Simulation and Applied Mathematics
PB  - Atlantis Press
SP  - 324
EP  - 329
SN  - 1951-6851
UR  - https://doi.org/10.2991/msam-15.2015.75
DO  - 10.2991/msam-15.2015.75
ID  - Xu2015/08
ER  -