doi: 10.17706/ijapm.2016.6.3.104-111
Exponential Mean Square Stability of the BE Method for Linear Neutral Hybrid Stochastic Delay Differential Equations
Haiyan Yuan
,
- Department of Mathematics, Heilongjiang Institute of Technology, Harbin, China.
Abstract
In this paper, the backward Euler (BE) method is introduced and analyzed for linear neutral hybrid stochastic delay differential equations. The exponential mean square stability of the BE method is considered for linear neutral hybrid stochastic delay differential equations. It is proved that, under the one-sided Lipschitz condition and the linear growth condition, for some positive stepsizes which depend on the Markovian switching, the BE method is exponential mean square stable. A numerical example is provided to illustrate the theoretical results.
Keywords
- Linear neutral hybrid stochastic delay differential equations
- exponential mean square stability
- BE method
- Markovian switching
How to Cite
Haiyan Yuan and Jihong Shen, "Exponential Mean Square Stability of the BE Method for Linear Neutral Hybrid Stochastic Delay Differential Equations," International Journal of Applied Physics and Mathematics, vol. 6, no. 3, pp. 104-111, 2016. https://doi.org/ 10.17706/ijapm.2016.6.3.104-111
Copyright & License
Copyright © 2016 by the authors. This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).