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Stability of Exponential Euler Method for Stochastic Systems under Poisson White Noise Excitations

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Abstract

The stability of stochastic systems under Poisson white noise excitations which based on the quantum theory is investigated in this paper. In general, the exact solution of the most of the stochastic systems with jumps is not easy to get. So it is very necessary to investigate the numerical solution of equations. On the one hand, exponential Euler method is applied to study stochastic delay differential equations, we can find the sufficient conditions for keeping mean square stability by investigating numerical method of systems. Through the comparison, we get the step-size of this method which is longer than the Euler-Maruyama method. On the other hand, mean square exponential stability of exponential Euler method for semi-linear stochastic delay differential equations under Poisson white noise excitations is confirmed.

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Authors and Affiliations

  1. Department of Mathematics, Harbin Institute of Technology, Harbin, 150001, China

    Longsuo Li & Yu Zhang

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  1. Longsuo Li
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  2. Yu Zhang
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Correspondence to Longsuo Li.

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Li, L., Zhang, Y. Stability of Exponential Euler Method for Stochastic Systems under Poisson White Noise Excitations. Int J Theor Phys 53, 4267–4274 (2014). https://doi.org/10.1007/s10773-014-2177-7

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  • DOI: https://doi.org/10.1007/s10773-014-2177-7

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