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Mean-square exponential dichotomy of numerical solutionsto stochastic differential equations |
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| Authors: | Hailong Zhu and Jifeng Chu |
| Affiliation: | School of Statistics and Applied Mathematics, Anhui Universityof Finance and Economics,Bengbu 233030, China;Department of Mathematics, College of Science, Hohai University, Nanjing 210098, China and Department of Mathematics, College of Science, Hohai University, Nanjing 210098, China |
| Abstract: | We present the ability ofnumerical simulations to reproduce the mean-square exponentialdichotomy of stochastic differential equations. Under someconditions, we show that the mean-square exponential dichotomy ofstochastic differential equations is equivalent to that of thenumerical method for sufficient small step sizes |
| Keywords: | Mean-square exponential dichotomy Euler-Maruyama method stochastic differential equation |
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