MEAN-SQUARE EXPONENTIAL DICHOTOMY OF NUMERICAL SOLUTIONS TO STOCHASTIC DIFFERENTIAL EQUATIONS | Zendy

Hailong Zhu | Zendy; Jifeng Chu | Zendy

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MEAN-SQUARE EXPONENTIAL DICHOTOMY OF NUMERICAL SOLUTIONS TO STOCHASTIC DIFFERENTIAL EQUATIONS

Author(s) -

Hailong Zhu,

Jifeng Chu

Publication year - 2016

Publication title -

journal of applied analysis and computation

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.55

H-Index - 21

eISSN - 2158-5644

pISSN - 2156-907X

DOI - 10.11948/2016034

Subject(s) - mathematics , mean square , exponential function , stochastic differential equation , mathematical analysis , exponential integrator , square (algebra) , exponential growth , differential equation , stochastic partial differential equation , ordinary differential equation , differential algebraic equation , geometry

We present the ability of numerical simulations to reproduce the mean-square exponential dichotomy of stochastic differential equations. Under some conditions, we show that the mean-square exponential dichotomy of stochastic differential equations is equivalent to that of the numerical method for sufficient small step sizes.

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