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Mean-Square Exponential Input-to-State Stability of Euler-Maruyama Method to Stochastic Control Systems
Mean-square exponential input-to-state stability Stochastic control systems Euler-Maruyama method
2009/9/9
This paper deals with the mean-square exponential input-to-state stability (exp-ISS) of Euler-Maruyama (EM) method
to stochastic control systems (SCSs). The aim is to find out the conditions of the e...
Convergence of the Euler-Maruyama method for stochastic differential equations with respect to semimartingales
Itˆ o’s formula Euler-Maruyama method Lipschitz condition
2010/9/16
In this paper, we study the stochastic differential equations with respect to semimartingales and the property of convergence of the Euler-Maruyama scheme approximations to the exact solutions.