Mean square stability of stochastic theta method for stochastic differential equations driven by fractional Brownian motion
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In this paper, we study the mean-square stability of the solution and its stochastic theta scheme for the following stochastic differential equations drive by fractional Brownian motion with Hurst parameter H∈ (1/2,1): dX(t)=f(t,X(t))dt+g(t,X(t))dB^H(t). Firstly, we consider the special case when f(t,X)=-λκ t^κ-1X and g(t,X)=μ X. The solution is explicit and is mean-square stable when κ≥ 2H. It is proved that if the parameter 2H≤κ≤ 3/2 and √(3/2)· e/√(3/2)· e+1 (≈ 0.77)≤θ≤ 1 or κ>3/2 and 1/2<θ≤ 1, the stochastic theta method reproduces the mean-square stability; and that if 0<θ<1/2, the numerical method does not preserve this stability unconditionally. Secondly, we study the stability of the solution and its stochastic theta scheme for nonlinear equations. Due to the presence of long memory, even the problem of stability in the mean square sense of the solution has not been well studied since the conventional techniques powerful for stochastic differential equations driven by Brownian motion are no longer applicable. Let alone the stability of numerical schemes. We need to develop a completely new set of techniques to deal with this difficulty. Numerical examples are carried out to illustrate our theoretical results.
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