Almost sure and moment exponential stability of Euler-Maruyama method for non-autonomous stochastic differential equations

@article{Haoyi2015AlmostSA,
  title={Almost sure and moment exponential stability of Euler-Maruyama method for non-autonomous stochastic differential equations},
  author={Mo Haoyi and Deng Feiqi and Ren Hongwei},
  journal={2015 34th Chinese Control Conference (CCC)},
  year={2015},
  pages={1655-1659}
}
For autonomous stochastic differential equations (SDEs), it has been shown that the Euler-Maruyama (EM) method produces almost sure exponential stability and moment exponential stability of SDEs under some conditions which include the linear growth condition. In this work, we extend these results to non-autonomous SDEs, and prove that the exact solution is… CONTINUE READING