T-stability of the Euler method for impulsive stochastic differential equations driven by fractional Brownian motion
Keyword(s):
Due to the fact that a fractional Brownian motion (fBm) with the Hurst parameter H ? (0,1/2) U(1/2, 1) is neither a semimartingale nor a Markov process, relatively little is studied about the T-stability for impulsive stochastic differential equations (ISDEs) with fBm. Here, for such linear equations with H ? (1/3, 1/2), by means of the average stability function, sufficient conditions of the T-stability are presented to their numerical solutionswhich are established fromthe Euler-Maruyama method with variable step-size. Moreover, some numerical examples are presented to support the theoretical results.
2005 ◽
Vol 37
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pp. 743-764
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2005 ◽
Vol 37
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pp. 743-764
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2021 ◽
Vol 37
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pp. 1156-1170
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2011 ◽
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pp. 1166-1180
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2016 ◽
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pp. 792-834
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