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Almost sure exponential stability of the Milstein-type schemes for stochastic delay differential equations

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  • Hu, Rong

Abstract

This paper investigates the almost sure exponential stability of Milstein-type schemes for stochastic delay differential equations (SDDEs) using the discrete semimartingale convergence theorem. It is shown that the Milstein scheme can preserve the almost sure stability of the exact solution under a linear growth condition on the drift. If the drift defies the linear growth condition, but satisfies a one-sided Lipschitz condition, we show backward Milstein scheme can share the almost sure exponential stability. Moreover, the exponential decay rates of the two classes of Milstein schemes are also investigated. Numerical experiments are performed to confirm our theoretic findings.

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  • Hu, Rong, 2020. "Almost sure exponential stability of the Milstein-type schemes for stochastic delay differential equations," Chaos, Solitons & Fractals, Elsevier, vol. 131(C).
    • Handle: RePEc:eee:chsofr:v:131:y:2020:i:c:s096007791930445x
    DOI: 10.1016/j.chaos.2019.109499
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    1. Küchler, Uwe & Platen, Eckhard, 2000. "Strong discrete time approximation of stochastic differential equations with time delay," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 54(1), pages 189-205.
    2. P. E. Kloeden & Eckhard Platen, 1989. "A survey of numerical methods for stochastic differential equations," Published Paper Series 1989-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
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    Cited by:

    1. Liu, Jiamin & Li, Zhao-Yan & Deng, Feiqi, 2021. "Asymptotic behavior analysis of Markovian switching neutral-type stochastic time-delay systems," Applied Mathematics and Computation, Elsevier, vol. 404(C).
    2. Cao, Wenping & Zhu, Quanxin, 2022. "Stability of stochastic nonlinear delay systems with delayed impulses," Applied Mathematics and Computation, Elsevier, vol. 421(C).
    3. Miaadi, Foued & Li, Xiaodi, 2021. "Impulsive effect on fixed-time control for distributed delay uncertain static neural networks with leakage delay," Chaos, Solitons & Fractals, Elsevier, vol. 142(C).
    4. Gao, Shuaibin & Li, Xiaotong & Liu, Zhuoqi, 2023. "Stationary distribution of the Milstein scheme for stochastic differential delay equations with first-order convergence," Applied Mathematics and Computation, Elsevier, vol. 458(C).
    5. Chendur Kumaran, R. & Venkatesh, T.G. & Swarup, K.S., 2022. "Stochastic delay differential equations: Analysis and simulation studies," Chaos, Solitons & Fractals, Elsevier, vol. 165(P2).
    6. Li, Guangjie & Yang, Qigui, 2021. "Stability analysis of the θ-method for hybrid neutral stochastic functional differential equations with jumps," Chaos, Solitons & Fractals, Elsevier, vol. 150(C).

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