Stability of Balanced Implicit Method for Hybrid Stochastic Differential Equation
Sheng Xu, Baocang Xia, Shaobo Zhou
Available Online August 2015.
- https://doi.org/10.2991/msam-15.2015.75How to use a DOI?
- stochastic differential equation, balanced implicit method, markovian switching, moment exponentially stability
- 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.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
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 - 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 - https://doi.org/10.2991/msam-15.2015.75 ID - Xu2015/08 ER -