Applied Mathematics and Computation 251 (2015) 527–538

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Applied Mathematics and Computation

journal homepage: www.elsevier.com/locate/amc

Mean-square stability of analytic solution and Euler–Maruyama

method for impulsive stochastic differential equations
Guihua Zhao a,⇑, Minghui Song b, Zhanwen Yang b
a
Department of Mathematics, Jiangsu University of Science and Technology, Zhenjiang 212003, PR China
b
Department of Mathematics, Harbin Institute of Technology, Harbin 150001, PR China

a r t i c l e i n f o a b s t r a c t

Keywords: From the view of algebra, the mean-square stability of analytic solutions and numerical
Stochastic differential equation solutions for impulsive stochastic differential equations are considered. By the logarithmic
Impulsive norm, the conditions under which the analytic and numerical solutions for a linear impul-
Euler–Maruyama method sive stochastic differential equation are mean-square stable (MS-stable) respectively are
MS-stable
obtained. The conditions are simple and easy to use. Some numerical experiments are
given to illustrate the results.
Ó 2014 Elsevier Inc. All rights reserved.

1. Introduction

Impulsive effects exist widely in many evolution processes in which states are changed abruptly at certain
moments of time, involving such fields as medicine, biology, economics, mechanics, electronics and telecommunica-
tions, etc. (see [1,8]). In recent years, there have been intensive studies on the impulsive differential equations (see
[9–11]). However, besides impulsive effects, stochastic effects likewise exist widely in real systems (see [7]). It has
received considerable attention. For example, the existence and uniqueness of the analytic solution for stochastic dif-
ferential equations (SDEs) has been studied by Gard [5] and Mao [13], the stability of Euler–Maruyama (EM) method
for SDEs has been studied by Cao et al. [3] and Liu et al. [14], the stability and convergence of composite Milstein
method for SDEs has been studied by Omar et al. [15], the convergence of EM method for SDEs has been studied
by Buckwar [2], etc.
Therefore, it is necessary to consider the stability of solutions of impulsive stochastic differential equations. It has
attracted interests of many researchers. Wu and Sun [17], Yang et al. [19,20] and Zhao et al. [21] have studied the pth
moment stability of impulsive stochastic differential equations (ISDEs). Wu and Ding [18] has studied the convergence
and stability of Euler method for ISDEs and Zhao et al. [22] has studied pth moment stability of EM method for ISDEs. Liu
at al. [12] has studied the mean-square stability of semi-implicit method for one-dimensional ISDEs.
Like many other equations, explicit solutions can rarely be obtained for the impulsive stochastic differential equations.
Thus, it is necessary to develop numerical methods and to study the properties of these methods.
Like as ordinary differential equations, we just discuss the test equations. Unfortunately, the diffusion and drift coeffi-
cients can not be diagonalized at the same time.

⇑ Corresponding author.
E-mail address: zgh-hit1108@163.com (G. Zhao).

http://dx.doi.org/10.1016/j.amc.2014.11.098
0096-3003/Ó 2014 Elsevier Inc. All rights reserved.
528 G. Zhao et al. / Applied Mathematics and Computation 251 (2015) 527–538

Hence, in this paper, we consider the stability of both analytic and EM solution of the following equation
8
< dXðtÞ ¼ AXðtÞdt þ BXðtÞdWðtÞ; t – sk ;
> t > 0;
Xðsþk Þ ¼ Hk Xðsk Þ; t ¼ sk ; ð1:1Þ
>
:
Xð0þ Þ ¼ X 0 ;

where A ¼ diagðk1 ; k2 ; . . . ; kn Þ 2 Rnn , B ¼ ðbij Þnn 2 Rnn , Hk ¼ ðHkij Þnn 2 Rnn ðk ¼ 1; 2; 3; . . .Þ are constant matrices, WðtÞ is
T
standard Brownian motion, XðtÞ ¼ ðX 1 ðtÞ; . . . ; X n ðtÞÞ ; Xðt þ Þ is the right limit of XðtÞ; 0 < s1 < s2 < s3 < . . ., limk!1 sk ¼ 1.
Denote s0 ¼ 0, N ¼ f1; 2; . . .g.
By Gard [5] and Mao [13], the Eq. (1.1) has on ð0; 1Þ unique solution
8 n  o
2
>
> XðtÞ ¼ exp A  12 b t þ BWðtÞ X 0 ; t 2 ð0; s1 ;
>
>
>
> n  o
< 2
XðtÞ ¼ exp A  12 b ðt  sk Þ þ BðWðtÞ  Wðsk ÞÞ t 2 ðsk ; skþ1 ; k 2 N
>
> k h n   oi
>
> Y
>
> 
2
Hi exp A  12 b ðsi  si1 Þ þ BðWðsi Þ  Wðsi1 ÞÞ X 0 :
:
i¼1

In this paper, we always assume that there exist two constants h1 and h2 such that

0 < h1 6 sk  sk1 6 h2 < 1; for all k 2 N:

In Section 2, MS-stability of Eq. (1.1) is analyzed. The results obtained in Section 2 are coincide with existing results. Such as,
Corollary 2.7 is Theorem 1 in [16], Corollary 2.8 is Theorem 2.1 in [12]. In Section 3, conditions of MS-stability of the Euler–
Maruyama scheme corresponding to Section 2 are obtained. The results in Section 3 are also coincide with existing results.
Corollary 3.8 is coincide with Theorem 2 in [16]. The main result with h ¼ 0 in Section 3 of [12] is coincide with Corollary 3.9.
In Section 4, some numerical experiments confirming our stability analysis in Section 3 are given.

2. The stability of the analytic solution

Let (X; F; P) be a probability space with a filtration ðFt ÞtP0 , which satisfies the usual conditions. Let WðtÞ; t P 0 in Eq.
(1.1) be Ft -adapted and independent of F0 . We assume X 0 to be F0 -measurable.
In this section we will give the sufficient conditions under which the analytic solution of (1.1) is MS-stable. First, we will
give the definition of MS-stability.

Definition 2.1 [16]. The zero solution of the system (1.1) is MS-stable if

EðjXðtÞj2 Þ ! 0 as t ! 1;

where j  j stands for the Euclidean norm, EðÞ denotes the expectation with respect to P.
Let FðtÞ ¼ EðXðtÞXðtÞT Þ be the n  n matrix-valued second moment of the solution of (1.1). By the Ito
^ formula, FðtÞ obeys
the initial value problem of the following impulsive ordinary differential equation

8 T T
< dFðtÞ ¼ ðAFðtÞ þ FðtÞA þ BFðtÞB Þdt; t – sk ;
> t > 0;
T
Fðsþk Þ ¼ Hk Fðsk ÞHk ; t ¼ sk ; ð2:1Þ
>
: þ T
Fð0 Þ ¼ EðX 0 X 0 Þ:

nðnþ1Þ
By virtue of the symmetry of the matrix FðtÞ, we have its governing ordinary differential equation of 2
-dimension.
8
> _ t – sk ;
< YðtÞ ¼ MYðtÞ; t > 0;
Yðsþk Þ ¼ Dk Yðsk Þ; t ¼ sk ; ð2:2Þ
>
:
Yð0þ Þ ¼ Y 0 ;

where
2 2 T
2
YðtÞ ¼ ðEðX 1 ðtÞÞ ; EðX 1 ðtÞX 2 ðtÞÞ; . . . ; EðX 1 ðtÞX n ðtÞÞ; . . . ; EðX i ðtÞÞ ; EðX i ðtÞX iþ1 ðtÞÞ; . . . ; EðX i ðtÞX n ðtÞÞ; . . . ; EðX n ðtÞÞ Þ ;
M ¼ M1 þ diagð2k1 ; . . . ; 2ki ; ki þ kiþ1 ; . . . ; ki kn ; . . . ; 2kn Þ; ð2:3Þ
 G. Zhao et al. / Applied Mathematics and Computation 251 (2015) 527–538 529

2
2 2
b 2b11 b12  2b11 b1n  b1p 2b1p b1ðpþ1Þ
6 11
6 b11 b21 b11 b22 þ b12 b21    b11 b2n þ b1n b21    b1p b2p b1p b2ðpþ1Þ þ b2p b1ðpþ1Þ
6
6 . .. .. .. .. .. ..
6 .
6 . . . . . . .
6
6b b b11 bn2 þ b12 bn1    b11 bnn þ b1n bn1    b1p bnp b1p bnðpþ1Þ þ bnp b1ðpþ1Þ
6 11 n1
M1 ¼ 6
6 .. .. .. .. .. .. ..
6 . . . . . . .
6
6
6 bi1 bj1 bi1 bj2 þ bi2 bj1    bi1 bjn þ bin bj1    bip bjp bip bjðpþ1Þ þ bjp biðpþ1Þ
6
6 . .. .. .. .. .. ..
6 .. . . . . . .
4
2 2
bn1 2bn1 bn2  2bn1 bnn  bnp 2bnp bnðpþ1Þ

2
3
2b1p b1ðpþ2Þ  2b1p b1n  b1n
7
b1p b2ðpþ2Þ þ b2p b1ðpþ2Þ    b1p b2n þ b2p b1n    b1n b2n 7
7
.. .. .. .. .. 7
. . . . . 7
7
7;
bip bjðpþ2Þ þ bjp biðpþ2Þ    bip bjn þ bjp bin    bin bjn 7
7
.. .. .. .. .. 7
7
. . . . . 5
2
2bnp bnðpþ2Þ  2bnp bnn  bnn
replacing the element bij in M1 by Hkij , we can get the matrices Dk (k ¼ 1; 2; . . .). Denote Y 0 ¼ Yð0þ Þ.
Note that the system (1.1) is MS-stable, if and only if YðtÞ ! 0 as t ! 1.

Definition 2.2 [1]. The function Y : ð0; þ1Þ ! Rnðnþ1Þ=2 is said to be a solution of the system (2.2), if the following conditions
are satisfied:

(1) limt!0þ YðtÞ ¼ Y 0 ;

_
(2) for t 2 ð0; þ1Þ; t – sk ; k 2 N, the function YðtÞ is differentiable and YðtÞ ¼ MYðtÞ;
(3) the function YðtÞ is left continuous in ð0; þ1Þ and if t 2 ð0; þ1Þ; t ¼ sk , then Yðt þ Þ ¼ Dk YðtÞ.

Denote U j ¼ Dj eMðsj sj1 Þ ; j 2 N. System (2.2) has on ð0; þ1Þ a unique solution

YðtÞ ¼ eMt Y 0 ; t 2 ð0; s1 ;
YðtÞ ¼ eMðtsk Þ U k U k1    U 1 Y 0 ; t 2 ðsk ; skþ1 ; k 2 N:

In the following, jj  jj denotes any arbitrary norm on Rn (n  2 N). The same symbol will be used for the matrix norm
subordinate to the given vector norm. Let A ¼ ða i;j Þnn . The logarithmic norm l½A of A is (see [4])

kI þ dAk  1
l½A ¼ limþ ðI is a unite matrix; d 2 RÞ:
d!0 d

For convenience, we introduce some well known identities for our results.
( ) ( )
Xn X
kAk1 ¼ max ij j ;
ja l1 ½A ¼ max aii þ ij j :
ja
16i6n 16i6n
j¼1 j–i

Theorem 2.3. The zero solution of the system (1.1) is MS-stable, if

X
k
1
lim sup logðkDj kÞ < l½M: ð2:4Þ
k!1 j¼1
sk

Proof. For t 2 ðsk ; skþ1 , we have

 Q  Q 
log kYðtÞk log jjeMðtsk Þ jj kj¼1 kDj eMðsj sj1 Þ kkY 0 k l½Mðt  sk Þ logðkY 0 kÞ log
k
j¼1 kDj k
¼ 6 þ þ þ l½M:
sk sk sk sk sk
530 G. Zhao et al. / Applied Mathematics and Computation 251 (2015) 527–538

Since 0 < h1 6 sj  sj1 6 h2 , limk!1 sk ¼ 1,

!
log kYðtÞk 1 Y
k X
k
1
lim sup 6 l½M þ lim sup log kDj k ¼ l½M þ lim sup logðkDj kÞ:
k!1 sk k!1 sk j¼1 k!1 j¼1
sk
From (2.4), we have
log kYðtÞk
lim sup < 0:
k!1 sk
Hence log kYðtÞk ! 1, as t ! 1. That is kYðtÞk ! 0 as t ! 1. h

Corollary 2.4. The zero solution of the system (1.1) is MS-stable if there exists a constant q 2 ½0; 1Þ, such that

kDj kel½Mðsj sj1 Þ 6 q < 1; 8j 2 N: ð2:5Þ

Proof. Since
! Q 
k l½Mðsj sj1 Þ
1 Y
k log j¼1 kDj ke
log kDj k þ l½M ¼ :
sk j¼1
sk
From (2.5), we obtain
!
1 Y
k
k
lim sup log kDj k þ l½M 6 lim sup log q < 0:
k!1 sk j¼1 k!1 kh1

From Theorem 2.3, we obtain the result. h

We will study the MS-stability w.r.t. k  k1 for the system (1.1).

Theorem 2.5. The system (1.1) is MS-stable, if

!
1 Y
p
lim sup log dk < L ð2:6Þ
p!1 sp k¼1

where
8 !2 9 8 !2 9
< X
n = < Xn =
L ¼ max jbip j þ 2ki : i ¼ 1; . . . ; n ; dk ¼ max jH j : i ¼ 1; . . . ; n :
: p¼1
; : p¼1 kip ;

Pn 2 Pn
Proof. Let Q ii ¼ p¼1 jbip j þ p¼1;l>p 2jbip bil j þ 2ki ,

X
n X
n
Q ij ¼ jbip bjp j þ ðjbip bjl þ bil bjp jÞ þ bii bjj þ bij bji þ ki þ kj ; i – j:
p¼1 p¼1;l>p;p–i;l–j

Eq. (2.3) implies that

l1 ½M ¼ maxfQ ij : 1 6 i 6 j 6 ng:
!2
X
n X
n X
n
Q ii ¼ jbip j2 þ 2jbip bil j þ 2ki ¼ jbip j þ 2ki ;
p¼1 p¼1;l>p p¼1

X
n X
n
Q ij ¼ jbip bjp j þ ðjbip bjl þ bil bjp jÞ þ bii bjj þ bij bji þ ki þ kj
p¼1 p¼1;l>p;p–i;l–j
X
n X
n
6 jbip bjp j þ ðjbip bjl þ bil bjp jÞ þ ki þ kj
p¼1 p¼1;l>p
0 !2 1, 0 !2 1,
X
n X
n
6@ jbip j þ 2ki A 2þ@ jbjp j þ 2kj A 2; i – j:
p¼1 p¼1
 G. Zhao et al. / Applied Mathematics and Computation 251 (2015) 527–538 531

Clearly, l1 ½M ¼ L. Let

X
n X
n
Gkii ¼ jHkip j2 þ 2jHkip Hkil j;
p¼1 p¼1;l>p

X
n X
n
Gkij ¼ jHkip Hkjp j þ ðjHkip Hkjl þ Hkil Hkjp jÞ; i – j:
p¼1 p¼1;l>p

Eq. (2.3) implies that

kDk k1 ¼ maxfGkij : 1 6 i 6 j 6 ng:

!2
X
n X
n X
n
Gkii ¼ H2kip þ 2jHkip Hkil j ¼ jHkip j ;
p¼1 p¼1;l>p p¼1

!2 !2
X
n X
n X
n X
n
Gkij ¼ jHkip Hkjp j þ ðjHkip Hkjl þ Hkil Hkjp jÞ 6 jHkip j =2 þ jHkjp j =2; i – j:
p¼1 p¼1;l>p p¼1 p¼1

It shows that dk ¼ kDk k1 . Thus, we get the result by Theorem 2.3. h

In the remainder, we will show that results obtained in this section are coincide with some existing results.

Corollary 2.6. The system (1.1) is MS-stable if there exists a constant q 2 ½0; 1Þ such that

dk eLðsk sk1 Þ 6 q < 1; 8k 2 N; ð2:7Þ

where L and dk have been defined in Theorem 2.5.
By Corollary 2.6, we can get Theorem 1 in [16] as following.

Corollary 2.7. Assume that n ¼ 2; Hk ¼ I for k ¼ 1; 2; . . .. The system (1.1) is MS-stable, if the following estimation

2 2
maxf2k1 þ ðjb11 j þ jb12 jÞ ; 2k2 þ ðjb21 j þ jb22 jÞ g < 0

holds.
By Corollary 2.6, we can get the following result which is coincide with Theorem 2.1 in [12].

Corollary 2.8. Let A ¼ a 2 R; B ¼ b 2 R; Hk ¼ 1 þ bk 2 R; sk ¼ k. The system (1.1) is MS-stable, if the following estimation

2
j1 þ bk j2 expf2a þ b g 6 q < 1; 8k 2 N

holds. That is
 
1 2
supfj1 þ bk j : k 2 Ngexp a þ b < 1:
2

3. MS-stability of Euler–Maruyama scheme

In this section, we shall investigate the MS-stability of EM scheme with variable step-size for system (1.1). The adaption
of EM scheme to Eq. (1.1) leads to a numerical solution of the following type
8
< X km;l ¼ ðI þ Ahk þ BDW km;l1 ÞX km;l1 ;
> k ¼ 0; 1; . . . ; l ¼ 1; . . . ; m;
X km;0 ¼ Hk X ðk1Þm;m ; ð3:1Þ
>
:
X 0;0 ¼ X 0 ;

s s
where hk ¼ kþ1m k is a step-size for a positive integer m; I is a unit matrix, the discrete point
t km;l ¼ sk þ lhk ; 0 6 l 6 m; DW km;l ¼ Wðt km;lþ1 Þ  Wðtkm;l Þ are independent Nð0; hk Þ-distributed Gaussian random variables,
X km;l  Xðtkm;l Þ; 1 6 l 6 m and X km;0  Xðsþk
Þ ¼ limt!sþ XðtÞ. Furthermore X km;l is Ftkm;l -measurable.
k
532 G. Zhao et al. / Applied Mathematics and Computation 251 (2015) 527–538

Theorem 3.1. From Theorem 10.22 in [6], we can obtain that the method (3.1) converges strongly.

Let F km;l ¼ EðX km;l X Tkm;l Þ be the n  n matrix-valued second moment of X km;l . F km;l obeys the following difference equation
8
>
> F km;l ¼ ðAF km;l1 þ F km;l1 AT þ BF km;l1 BT Þhk
>
>
< þF þ AF
2
AT h ; l ¼ 1; . . . ; m;
km;l1 km;l1 k
ð3:2Þ
>
> F km;0 ¼ Dk F ðk1Þm;m ;
>
>
:
F 0;0 ¼ EðX 0 X T0 Þ:

By the symmetry of F km;l , we obtain a one-step difference equation of the form

8
< Y km;l ¼ M k Y km;l1 ; l ¼ 1; . . . ; m;
>
Y km;0 ¼ Dk Y ðk1Þm;m ; ð3:3Þ
>
:
Y 0;0 ¼ Y 0 ;
2
where M k ¼ Mhk þ I þ Nhk ; M and Dk are the values occurring in (2.3), and

N ¼ diagðk21 ; . . . ; k1 kn ; . . . ; k2i ; . . . ; ki kn ; . . . ; k2n Þ;

 T
Y km;l ¼ EðX 1km;l X 1km;l Þ; EðX 1km;l X 2km;l Þ; . . . ; EðX 1km;l X nkm;l Þ; . . . ; EðX ikm;l X ikm;l Þ; EðX ikm;l X iþ1 i n n n
km;l Þ; . . . ; EðX km;l X km;l Þ; . . . ; EðX km;l X km;l Þ :

Denote U j ¼ Dj M m
j1 j 2 N. From Eq. (3.3) we have
(
Y 0;l ¼ M 0 l Y 0 ; 0 6 l 6 m;
ð3:4Þ
Y km;l ¼ Mlk U k U k1    U 1 Y 0 ; 0 6 l 6 m; k 2 N:

Let n ¼ km þ l; X n ¼ X kmþl , where k 2 N; 1 6 l 6 m.

Definition 3.2 [16]. The numerical method (3.1) is said to be MS-stable if

EðjX n j2 Þ ! 0 as n ! 1;
Note that, EðjX n j2 Þ ! 0 as n ! 1, if and only if kY km;l k ! 0, as k ! 1 for all 1 6 l 6 m.

Theorem 3.3. The numerical solution (3.1) for (1.1) is MS-stable, if

" #
X k
logðkDj kÞ log kM j1 k
(1) lim sup þ Pk < 0; ð3:5Þ
k!1 j¼1
sk j¼1 hj1

or
(2) the condition (2.4) holds and
X
k
lim sup ðlogðkMj1 kÞ  l½Mhj1 Þ  0: ð3:6Þ
k!1 j¼1

Proof. From (3.4), for K 2 N, we have

Q 
k Pk
log j¼1 kDj k
log kY km;l k l log kMk k log kY 0 k j¼1 m log kM j1 k
6 þ þ þ
sk sk sk s
 k
sk
Qk P
l log kM k k log kY 0 k log j¼1 kDj k
k
log kMj1 k
j¼1
¼ þ þ þ Pk :
sk sk sk j¼1 hj1

Hence
2 Q  3
k Pk
log kY km;l k log j¼1 kDj k log kM j1 k
j¼1
lim sup 6 lim sup4 þ Pk 5
k!1 sk k!1 sk j¼1 hj1
" #
Xk
logðkDj kÞ log kM j1 k
¼ lim sup þ Pk :
k!1 j¼1
sk j¼1 hj1
 G. Zhao et al. / Applied Mathematics and Computation 251 (2015) 527–538 533

From (1) or (2), we can obtain

log kY km;l k
lim sup < 0:
k!1 sk
That is, kY km;l k ! 0, as k ! 1. h

Remark 3.4. The condition (1) in Theorem 3.3 contains the condition (2). Under condition (2), the numerical solution and
analytical solution are both stable. But, under condition (1), the numerical solution is stable, the analytical solution may be
unstable.

Corollary 3.5. The numerical solution (3.1) for (1.1) is MS-stable, if

(1) there exists a constant q 2 ½0; 1Þ such that

kDj kkM j1 km 6 q < 1; 8j 2 N; ð3:7Þ

or
(2) the condition (2.4) holds and

kM j1 kel½Mhj1 < 1; 8j 2 N; ð3:8Þ

Proof. From Theorem 3.3, we can easily get the case (2). Next, we will prove the case (1). From (3.5), we have
" # " #
X
k
logðkDj kÞ log kMj1 k Xk
logðkDj kkM j1 km Þ log q
þ Pk ¼ 6 < 0:
j¼1
sk h
j¼1 j1 j¼1
s k h1

Hence, we obtain the case (1). h

We will study the MS-stability of the EM method w.r.t k  k1 .

Theorem 3.6. The numerical solution (3.1) for (1.1) is MS-stable w.r.t. k  k1 , if
Xp  
logðdk Þ log krk1 k
ð1Þ lim sup þ Pp < 0; ð3:9Þ
p!1 k¼1 sp k¼1 hk1

or
(2) the condition (2.6) holds and
X
p
lim sup ðlogðrk1 Þ  Lhk1 Þ  0; ð3:10Þ
p!1 k¼1

where dk and L have been defined in Theorem 2.5 and

8 !2 9
< Xn =
2
rk ¼ max hk jbip j þ ð1 þ ki hk Þ : i ¼ 1; 2; . . . ; n ; k ¼ 0; 1; . . . :
: p¼1
;

Proof. From (2.3) and (3.3), we know that

( ! !
X
n X
n
2 2
X
n X
n
kM k k1 ¼ max hk jbip j2 þ 2jbip bil j þ jbii hk þ 2ki hk þ 1 þ k2i hk j; hk jbip bjp j þ ðjbip bjl þ bil bjp jÞ
p¼1;p–i p¼1;l>p p¼1 p¼1;l>p;p–i;l–j
)

 2
þ ðbii bjj þ bij bji Þhk þ ðki þ kj Þhk þ 1 þ ki kj hk j : 1 6 i < j 6 n :

By the similar calculation in Theorem 2.5, we can easily get that rk ¼ kM k k1 . Hence, by Theorem 3.3, we obtain the result. h

Corollary 3.7. The numerical solution (3.1) for (1.1) is MS-stable, if

(1) there exists a constant q 2 ½0; 1Þ such that

dk rm
k1 6 q < 1; 8k 2 N; ð3:11Þ
534 G. Zhao et al. / Applied Mathematics and Computation 251 (2015) 527–538

or
(2) the condition (2.6) holds and

rk1 eLhk1 < 1; 8k 2 N; ð3:12Þ

where dk and L have been defined in Theorem 2.5, and rk has defined in Theorem 3.6.
In the remainder, we will show that results obtained in this section are coincide with some existing results.
In particular, If Hk ¼ I. Set sk ¼ k; hk ¼ h, M k ¼ M for all k ¼ 0; 1; . . .. Thus the EM solution (3.1) is stable if and only
if kMk < 1.
Hence we can get Theorem 2 in [16] as following.

Corollary 3.8. Assumed that n ¼ 2; Hk ¼ I. The numerical method (3.1) is MS-stable w.r.t. k  k1 if and only if the following
inequality
2 2 2 2
maxfhðjb11 j þ jb12 jÞ þ ð1 þ k1 hÞ ; hðjb21 j þ jb22 jÞ þ ð1 þ k2 hÞ g < 1
holds.
By Theorem 3.3, we can get the following result which is coincide with the main result with h ¼ 0 in section 3 of [12].

Corollary 3.9. Let A ¼ a 2 R; B ¼ b 2 R; Hk ¼ 1 þ bk 2 R; sk ¼ k. The numerical method (3.1) is MS-stable, if

2 2 2
ð1 þ ahÞ þ b h 6 eð2aþb Þh
:

4. Numerical experiments

Example 4.1
8
< dXðtÞ ¼ 2XðtÞdt þ XðtÞdWðtÞ; t – k;
>
þ
Xðk Þ ¼ Hk XðkÞ; t ¼ k; ð4:1Þ
>
:
Xð0þ Þ ¼ 1;
where Hk 2 R; k ¼ 1; 2; . . ..
We will confirm the main result in this paper through numerical experiments. First, we choose (4.1) as test equations to
illustrate the convergence.
From [5,13], we can obtain the explicit solution of (4.1).
8
>
> expf1:5t þ WðtÞgXð0þ Þ; for t 2 ð0; 1;
>
>
< expf1:5ðt  kÞ þ ðWðtÞ  WðkÞÞg
XðtÞ ¼
>
> Yk
> þ
: Hi expf1:5 þ ðWðiÞ  Wði  1ÞÞgXð0 Þ for t 2 ðk; k þ 1:
>
i¼1

In Fig. 1, we plot the explicit solution of (4.1) together with the EM method for step-size h ¼ 1=128. Owing to the con-
vergence of the EM method, the figures illustrate that the numerical solution has the same stability property with its ana-
lytical solution. The system (4.1) without impulsive effects that means that Hk ¼ 1; k ¼ 0; 1; . . ..
In the following tests, we show that the influence of impulsive effects and the step-size on the MS-stability of the EM
method. The data used in the following figures are obtained by the mean square of data by 10,000 trajectories, that is,
wi : 1 6 i  10; 000, if X n ¼ ðX 1n ; X 2n Þ, then
2
Y 1 ¼ 1=10; 000R10;000
i¼1 ðX 1n ðwi ÞÞ ; Y 2 ¼ 1=10; 000R10;000
i¼1 X 1n ðwi ÞX 2n ðwi Þ;

2
Y 3 ¼ 1=10; 000R10;000
i¼1 ðX 2n ðwi ÞÞ ;
if X n ¼ ðX 1n ; X 2n ; X 3n Þ, then
2
Y 1 ¼ 1=10; 000R10;000
i¼1 ðX 1n ðwi ÞÞ ; Y 2 ¼ 1=10; 000R10;000
i¼1 X 1n ðwi ÞX 2n ðwi Þ;

2
Y 3 ¼ 1=10; 000R10;000
i¼1 X 1n ðwi ÞX 3n ðwi Þ; Y 4 ¼ 1=10; 000R10;000
i¼1 ðX 2n ðwi ÞÞ ;

2
Y 5 ¼ 1=10; 000R10;000
i¼1 X 2n ðwi ÞX 3n ðwi Þ; Y 6 ¼ 1=10; 000R10;000
i¼1 ðX 3n ðwi ÞÞ :
 G. Zhao et al. / Applied Mathematics and Computation 251 (2015) 527–538 535

Fig. 1. Convergence of EM method for (4.1).

Example 4.2
8 2 3 2 3
>
> 0:5 0 0 0:1 0:5 0:4
>
> 6 7 6 7
> 0:1 0:4 5XðtÞdWðtÞ; t – sk ;
< dXðtÞ ¼ 4 0 0:3 0 5XðtÞdt þ 4 0:5
>
0 0 0:2 0:1 0:4 0:5 ð4:2Þ
>
>
> Xðsk þ Þ ¼ Hk Xðsk Þ;
> t ¼ sk ;
>
>
:
Xð0þ Þ ¼ ð2; 2; 2ÞT ;
where sk ¼ 3 þ 3ðk2Þ
2
if k is even; sk ¼ 1 þ 3ðk1Þ
2
if k is odd.
s s

In Figs. 2 and 3, we choose m ¼ 10 hk ¼ kþ1m k .

For Hk ¼ I; dk eLðsk sk1 Þ P e2 > 1, Fig. 2 shows that the EM solution of (4.2) is unstable.
2 3
5 2 1
k1 4
For Hk ¼ 10 2 1 5 5, the conditions in Theorem 3.6 are satisfied. Fig. 3 shows that the EM solution of (4.2) is
1 5 2
MS-stable. Figs. 2 and 3 show that the impulsive effects drive unstable system to stable system.

Example 4.3
8    
> 0:2 0 0:2 0:4
>
> dXðtÞ ¼ XðtÞdt þ XðtÞdWðtÞ; t – sk ;
< 0 3:5 0:5 1:5
þ ð4:3Þ
>
> Xðk Þ ¼ Hk XðkÞ; t ¼ sk ;
>
:
Xð0þ Þ ¼ ð1; 1ÞT ;

where sk ¼ 2k. In Fig. 4, we choose m ¼ 10 (hk ¼ skþ1msk Þ.

Fig. 2. Simulation for (4.2) without impulsive effects.

536 G. Zhao et al. / Applied Mathematics and Computation 251 (2015) 527–538

Fig. 3. Simulation for (4.2) with impulsive effects.

Fig. 4. Simulation for (4.3).

 
For Hk ¼ I, by Theorem 3.6, the EM solution is stable. The left of Figure gives a hard evidence. For Hk ¼ 8 5  ð1Þk ;
4 10
dk eLðsk sk1 Þ ¼ 196e0:02 > 1. The right of Fig. 4 shows that the EM solutio of (4.3) is unstable. It shows that the impulsive

effects can change the stable system into unstable.

Example 4.4
8    
>
> 8 0 3 0
>
> dXðtÞ ¼ XðtÞdt þ XðtÞdWðtÞ; t – k;
>
> 0 6 0 3
<  
þ 3 1:4 ð4:4Þ
>
> Xðk Þ ¼ XðkÞ; t ¼ k;
>
> 1:4 3
>
>
:
Xð0þ Þ ¼ ð1; 1ÞT :

Fig. 5 show that the EM method for (4.4) is stable when h ¼ hk ¼ 1=100, unstable when h ¼ hk ¼ 1=5. It shows that the
stability of EM method depends on the choice of step-size.

Example 4.5
8    
>
> 1:5 0 1 0
>
> dXðtÞ ¼ XðtÞdt þ XðtÞdWðtÞ; t – k;
>
> 0 1:5 0 1
>
< " #
þ
7
e þ ð1Þk 56 e 0 ð4:5Þ
>
> Xðk Þ ¼ 6 XðkÞ; t ¼ k;
>
> 0 0
>
>
>
:
Xð0þ Þ ¼ ð1; 1ÞT :
 G. Zhao et al. / Applied Mathematics and Computation 251 (2015) 527–538 537

Fig. 5. The simulation for (4.4).

Fig. 6. The simulation for (4.5).

By calculating, l1 ½M ¼ 2; kDj k1 ¼ 19 e2 when j is odd, kDj k1 ¼ 4e2 when j is even. Clearly the condition (2.7) does not hold
for Eq. (4.5), but the condition (2.6) holds. It shows that Corollary 2.6 is more restrictive than Theorem 2.5. By calculating, we
know that the condition (3.9) holds for m ¼ 10 and m ¼ 4. Fig. 6 gives a hard evidence. At the same, by calculating, we know
that the condition (3.10) and condition (3.11) do not hold for m ¼ 4. It shows that the case (2) in Theorem 3.6 is more restric-
tive than the case (1), the Corollary 3.7 is more restrictive than Theorem 3.6.

Acknowledgements

We would like to thank the professor Xuerong Mao for his useful suggestions.
The work was supported by the National Nature Science Foundation of China (No. 11101130). The work was supported by
the foundation of Jiangsu University of Science and Technology of China (Nos. 35050903, 633051205).

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