Almost Surely Exponential Stability of Numerical Solutions for Stochastic Pantograph Equations

• Published in: Abstract and Applied Analysis Vol. 2014; no. 2014; pp. 733 - 741-1280
• Main Author: Zhou, Shaobo
• Format: Journal Article
• Language: English
• Published: Cairo, Egypt Hindawi Limiteds 01-01-2014; Hindawi Publishing Corporation; John Wiley & Sons, Inc; Hindawi Limited
• Subjects: Control systems; Convergence (Mathematics); Delay equations; Differential equations; Functions, Exponential; Mathematical research; Methods; Neural networks; Nonlinear systems; Numerical analysis; Stochastic differential equations
• ISSN: 1085-3375; 1687-0409
• DOI: 10.1155/2014/751209

Our effort is to develop a criterion on almost surely exponential stability of numerical solution to stochastic pantograph differential equations, with the help of the discrete semimartingale convergence theorem and the technique used in stable analysis of the exact solution. We will prove that the Euler-Maruyama (EM) method can preserve almost surely exponential stability of stochastic pantograph differential equations under the linear growth conditions. And the backward EM method can reproduce almost surely exponential stability for highly nonlinear stochastic pantograph differential equations. A highly nonlinear example is provided to illustrate the main theory.