Proceedings of the 2015 International Conference on Modeling, Simulation and Applied Mathematics

Stability of Balanced Implicit Method for Hybrid Stochastic Differential Equation

Authors
Sheng Xu, Baocang Xia, Shaobo Zhou
Corresponding Author
Sheng Xu
Available Online August 2015.
DOI
https://doi.org/10.2991/msam-15.2015.75How to use a DOI?
Keywords
stochastic differential equation, balanced implicit method, markovian switching, moment exponentially stability
Abstract
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.
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Proceedings
2015 International Conference on Modeling, Simulation and Applied Mathematics
Part of series
Advances in Intelligent Systems Research
Publication Date
August 2015
ISBN
978-94-6252-104-9
ISSN
1951-6851
DOI
https://doi.org/10.2991/msam-15.2015.75How to use a DOI?
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  -