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Exponential stability of modified truncated EM method for stochastic differential equations

Published 11 Apr 2017 in math.PR | (1704.03158v1)

Abstract: Exponential stability of modified truncated Euler-Maruyama method for stochastic differential equations are investigated in this paper. Sufficient conditions for the $p$-th moment and almost sure exponential stability of the given numerical method are presented. An example is provided to support our conclusions.

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