Stability equivalence among stochastic differential equations and stochastic differential equations with piecewise continuous arguments and corresponding Euler-Maruyama methods (2001.05203v1)

Abstract: In this paper, we consider the equivalence of the $p$th moment exponential stability for stochastic differential equations (SDEs), stochastic differential equations with piecewise continuous arguments (SDEPCAs) and the corresponding Euler-Maruyama methods EMSDEs and EMSDEPCAs. We show that if one of the SDEPCAs, SDEs, EMSDEs and EMSDEPCAs is $p$th moment exponentially stable, then any of them is $p$th moment exponentially stable for a sufficiently small step size $h$ and $\tau$ under the global Lipschitz assumption on the drift and diffusion coefficients