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Mathematical Computation
June 2014, Volume 3, Issue 2, PP.19-25
Almost Sure Stability of the Weak Backward
Euler-Maruyama Method for the Stochastic
Lotka-Volterra Model in One Dimension
Wei Liu
Department of Mathematical Sciences, Loughborough University, Loughborough, Leicestershire, LE11 3TU, U.K.
Email: w.liu@lboro.ac.uk
Abstract
The almost sure exponential stability of the weak backward Euler-Maruyama (EM) method is discussed for the stochastic version
of the Lotka-Volterra model in one dimension. As the nonlinear term exists in the drift coefficient, the explicit Euler-Maruyama
method is not a good candidate
[6]
. The backward EM method is normally a naturally replacement in the nonlinear case, but we
show that in this model the backward EM method may not be well defined. Then we turn to the weak backward EM method, in
which the normal distribution is replaced by a two-point distribution, and we prove that this method can reproduce the almost sure
exponential stability of the underlying model.
Keywords: Almost Sure Exponential Stability; Weak Backward Euler-Maruyama Method; Nonlinear SDEs
1 INTRODUCTION
Stochastic differential equations (SDEs) have been employed to model uncertain scenarios in many areas for decades
[5, 7]
. Due to the difficulties to find explicit solutions to most nonlinear SDEs
[5]
, the research on numerical
approximations to SDEs has been blooming in recent years
[4, 6]
. Among different aspects of numerical analysis for
SDEs, the almost sure exponential stability is one of the most popular topics.
This paper is devoted to the study on reproducing the almost sure exponential stability of the underlying SDE by
using numerical solutions. There already exist many literatures on this direction, and we just mention a few of them
here
[1, 2, 8]
and the references therein. However, few works have been contributed to the weak method, in which the
two-point distribution replaces the normally distributed Brownian increment. We refer the readers to
[1]
for the weak
methods in the linear case.
In this paper, we are investigating one type of nonlinear SDE, the one dimension stochastic Lotka-Volterra model,
which is a stochastic population model
[5]
. We first show that there is positive probability that the explicit Euler-
Maruyama (EM) method may blow up while the underlying SDE is stable. In many papers, the backward EM
method (also called the semi-implicit EM method) is a naturally good substitute to the explicit method in dealing
with stability problems
[2]
. But this is not the case in this paper, as we will see the backward EM method may even
not be well defined for the stochastic Lotka-Volterra model. Then we employ the weak backward EM method, which
has been proved converge weakly to the underlying solution
[4]
. We first show that by properly choosing the step-
size, the weak backward EM can preserve the positivity. This is a desirable property, as the underling equation is a
population model and its solution can only be nonnegative. More importantly, the positivity property is essential to
the proof of the almost surely exponential stability.
This paper is organised in the following way. In Section 2, the mathematical preliminary is briefed as well as the
properties of the underlying equation. Section 3, firstly, sees the discussions of the failures of the explicit EM
method and the backward EM method then the main result is presented. Some numerical simulations are used to
illustrate the theoretical result in Section 4. We conclude this paper by some further discussion in Section 5.

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2 MATHEMATICAL PRELIMINARY AND THE UNDERLYING EQUATION
Throughout this paper, let (, , P) be a complete probability space with a filtration {

}
0
satisfying the usual
conditions (that is, it is right continuous and increasing while
0
contains all P-null sets). Let B (t) be a scalar
Brownian motion defined on the probability space.
Our aim of this paper is to study the almost sure stability of different numerical approaches to the one-dimensional
Lotka-Volterra model
dx(t) = (bx(t) - ax
2
(t))dt + x(t)dB(t), x(0) = x
0
, (2.1)
Where a, b and are positive parameters, and the initial value, x
0
>0, is a constant. It can be seen that the drift
coefficient of this SDE does not satisfy either linear growth condition or one-sided Lipschitz condition.
We first present the following theorem about the existence, uniqueness and positivity of the solution. We refer the
reader to [5] for the proof.
Theorem 2.1 For any given initial value x (0) > 0, and positive parameters a, b and , there exists a unique positive
global solution x (t) to the equation (2.1) on t 0.
As we are investigating reproduction of the stability of the underlying equation by some numerical methods, we
quote here the result of the almost sure stability of the underlying equation as follows.
Theorem 2.2 (see for example

[5]) Assume a, b, > 0 and
b -
1
2

2
< 0, (2.2)
Then, for any initial value x (0) >0, the underlying SDE (2.1) is almost surely exponential stable, i.e.

|()|

b -
1
2

2
.
However, little knowledge about what kind of numerical scheme could reproduce this stability for this model is
known.
3 NUMERICAL SOLUTION
3.1 The Euler-Maruyama Method
Due to the simple algebraic structure and cheap computational cost, the Euler-Maruyama (EM) method has been one
of the most popular methods [9]. Applying the EM method to the equation (2.1), we see that
X
+1
= X

+ (bX

- aX

2
) t +X

, X
0
= x (0), (3.1)
Where

= B (
+1
) - B (

) is a Brownian motion increment and

=kt. In the next lemma we will see that no

matter how small the step size is there is always a positive probability that the numerical solution will blow up as
time advances. And this contradicts to the behaviour of the underlying solution stated in Theorem 2.2.
Lemma 3.1 For any positive parameters a, b and , assume 0 < t < 1/
2
. If |
1
| 2
4+
/ (at) in (3.1), then
P (|

|
2
+3+

for any k 1) exp (-4

2/()
).
Proof. Firstly, we show that
|X
k
|
2
+3+
at
and |B

|
2

indicates |X
k+1
|
2
+4+
at
(3.2)
To see this, suppose |X
k
| 2
+3+
/ (at). Then
|X
k+1
| |X
k
|(at|X
k
| - 1 - bt - |B

|)

2
+3+
at
(2
+3+
1 - bt - |B

|).

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Hence, |X
k+1
| 2
+4+
/( at) if
2
+3+
1 - bt - |B

| 2,
that is
|B

| 2
+3+
- 3 bt.
It is clear that 2
+3+
- 3 bt 2
+3+
- 3 b 2

for any k 0 and b > 0, then (3.2) follows. Given that |X

1
|
2
4+
/ (at), the event that {2
+3+
/(at)}, for any 1 k H} contains the event that {|B

| 2

/ for any 1 k
H }. As the {B

} are independent, we see that

P (|X
k
|
2
+3+
at
for any 1 k H) P(|B

|
2

=1
). (3.3)
Because B

~ N (0, t), we have that

P (|B

|
2

) = P (
|B

|
t

2

t
)
=
2
2

2
/2

/(t)


2
2

x

/(t)

=
2
2
exp (-
2

t
).
Thus, we see from (3.3) that
P (|X
k
|
2
+3+
at
for any 1 k H) (1 exp(
2

t
))

=1
.
Since
Log (1-u) -2u for 0 < u < 0.5,
we then have that
log (P (|X
k
|
2
+3+
at
for any 1 k H)) log(1 exp(
2

t
))

=1

-2 exp(
2

t
)

=1
. (3.4)
Using 2

2k,
exp(
2

t
)

=1
exp(
2
t
)

=1
.
The right hand side is a geometric series that converges monotonically from below to
2/(t)
/ (1-
2/(t)
)
2
2/(t)
. Hence (3.4) indicates that
log (P (|X
k
|
2
+3+
at
for any 1 k H)) -4
2/(t)
,
and the assertion holds.
The results stated in Lemma 3.1 contrasts to the initial-data-independent exponential stability of the underlying SDE,
shown in Theorem 2.2. Hence the EM method is not a candidate any more.
3.2 The Backward Euler-Maruyama Method
The backward Euler-Maruyama method is often a good substitute to the classic Euler-Maruyama method, as it is
better at dealing with nonlinearity and stability. The backward EM method for the equation (2.1) is
X
+1
= X

+ (bX
+1
- aX
+1
2
) t +X

, X
0
= x (0). (3.5)
By solving the quadratic equation (3.5), we see the iteration that

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X
+1
=
(bt1)(bt1)
2
+4t(1+B

)X

2t
.
However, due to the unboundedness of the Brownian motion increment under the square root, the backward EM may
not be well defined.
3.3 The Weak Backward Euler-Maruyama Method
In this section, the weak backward EM method is investigated. There already exist some works on the advantages of
the weak methods [1, 4]. The weak backward EM method, in which the normal distributed Brownian motion
increment is replaced by a two-point distribution, is defined by
X
+1
= X

+ (bX
+1
- aX
+1
2
) t +X

t V

, X
0
= x (0), (3.6)
where V

k=0,1,2, are independently identically distributed random variables following the two-point
distribution with P(V

= 1) = P(V

= -1) = 0.5. The replacement allows cheaper computation, and more

importantly the two-point distribution makes the numerical solution well-defined. The expression of X
+1
is now
given by
X
k+1
=
(bt1)+(bt1)
2
+4at(1+t V

)X
k
2at
.
Since > 0, we have that 1 + t V

1 - t > 0, if t < 1/
2
. Then for any X
0
> 0, the weak backward EM
method can guarantee that X
k
> 0 for all k > 0, which is in line with the positivity of the underlying solution
discussed in Theorem 2.1.
The next theorem discusses the stability of the weak backward EM method (3.6).
Theorem 3.2 Assume b - 0.5
2
< 0, for any (0,|b-0.5
2
|) there exists a

(0,1) such that for all t <

the
weak backward EM solution (3.6) is almost surely exponential stable, i.e.

b - 0.5
2
+ < 0.
Proof.
Taking square on both sides of (3.6), we have that
|X
k+1
|
2
= X
k+1
(X
k
+X
k
V

t ) + X
k+1
(bX
k+1
- aX
k+1
2
) t.
Since X
k
>0 for all k >0, we see that
tX
k+1
(bX
k+1
- aX
k+1
2
) = (bX
k+1
2
a X
k+1
3
) t btX
k+1
2
,
and
X
k+1
(X
k
+X
k
V

t ) 0.5 X
k+1
2
+ 0.5 (X
k
+ X
k
V

t )
2
.
Given t < 1/(2b), we obtained that
|X
k+1
|
2

1
12t
(X
k
+X
k
V

t )
2

=
|X
k
|
2
12t
(1+2V

t +
2
V

2
t)
=
|X
k
|
2
12t
(1 + ), (3.7)
where = 2V

t +
2
V

2
t. For any p(0,1) we have an inequality that
(1 + )
/2
1 +

2
u +
(2)
8
u
2
+
(2)(4)
2
3
3!
u
3
, u -1.
So we have from (3.7) that
E (|X
k+1
|

|
t
)
|X
k
|

(12t)
/2
E (1 +

2
+
(2)
8

2
+
(2)(4)
2
3
3!

3
|
t
), (3.8)

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where
t
is the sigma algebra generated by {V

: i = 0, , k}. It is not hard to derive that

E ( |
t
) =
2
t,
E (
2
|
t
) = 4
2
t +
4
t
2
> 4
2
t -
4
t
2
,
E (
3
|
t
) < (12
4
+
6
)t
2
.
Substituting those into (3.8), we have that
E (|X
k+1
|

|
t
)
|X
k
|

(12t)
/2
(1 +

2

2
t +
(2)
8
(4
2
t -
4
t
2
) +
(2)(4)
2
3
3!
(12
4
+
6
) t
2
)

|X
k
|

(12t)
/2
(1 +
p
2
2

2
t -

2

2
t + Ct
2
), (3.9)
where C is a positive constant depending on p and . Taking expectation on both sides of (3.9) yields
E (|X
k+1
|

)
1 +
p
2
2

2
t

2

2
t + Ct
(12t)
/2
E (|X
k
|

).
Now for any (0,|b-0.5
2
|), we can choose p sufficiently small such that p
2
/4. Then, for sufficiently smallt,
we have that
(1 2t)
/2
1 pbt - C
1
t
2
> 0,
Where C
1
is a positive constant depending on p and b. By further reducingt, we ensure that
Ct <
1
8
p, C
1
t <
1
4
, |p (b+
1
4
) t|
1
2
.
Hence
E (|X
k+1
|

)
1 +

2
(
2
+
1
2
)t
1(+
1
4
) t
E (|X
k
|

).
Note that for any u[-0.5,0.5],
1
1
= 1 + u +
2
u

=0
1 + u +
2
0.5

=0
= 1 + u + 2
2
.
By further reducing t so that
4p(b +
1
4
)
2
t + (
2
+
1
2
)(p(b +
1
4
)t + 2(p(b +
1
4
)t)
2
) ,
We get that
E (|X
k+1
|

) (1 + p (b -
1
2

2
+ ) t) E (|X
k
|

).
By iteration, we see that
E (|X
k
|

) |X
0
|

exp (p (b -
1
2

2
+ ) kt).
By chebyshev's inequality,
P (|X
k
|

k
2
exp (p (b -
1
2

2
+ )kt))
|X
0
|

k
2
.
Then by the Borel-Cantelli lemma, we see for almost all that
|X
k
|

k
2
exp (p(b -
1
2

2
+ )kt)
Holds for all but finitely many k. Hence there exists a k
0
() such that for all excluding a P-null set, the
inequality above holds whenever k k
0
. Hence
1
t
log |X
k
| (b -
1
2

2
+ ) +
2logk
pkt
.
Letting k , the assertion holds.

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4 NUMERICAL EXAMPLE
To illustrate the theorem, we use present a numerical example. Set a = 1, b = 1.5 and = 2. It is easy to check that
(2.2) holds. Thus, by Theorem 2.2, we know that the underlying solution (2.1) is almost sure stability. Now we
choose t = 0.2 such that t < 1/
2
and t < 1/ (2b), and simulate one path with 100 iterations starting from the
initial value x
0
= 10.

FIGURE 1 ONE PATH OF THE MODEL (2.1) USING THE WEAK BACKWARD EULER-MARUYAMA METHOD
It can be seen that after a few oscillations the solution stays at zero as time advances, that is to say the solution is
almost surely stable. This is in line with the Theorem 3.2.
5 CONCLUSIONS
In this short paper, we discuss the reproduction of the almost stability of the underlying equation by the weak
backward Euler-Maruyama method and demonstrate the theoretical result by some computational example. We see
the advantages of the weak scheme over the classical schemes, as the unbounded noise term is replaced by the
bounded one. It is interesting to see if this kind of weak scheme would be applied to other nonlinear SDEs, to which
the classical methods are not proper to apply.
REFERENCES
[1] Desmond J. Higham. Mean-square and asymptotic stability of the stochastic theta method. SIAM journal on numerical analysis,
2000, 38(3): 753-769.
[2] Desmond J. Higham, Xuerong Mao, Chenggui Yuan. Almost sure and moment exponential stability in the numerical simulations
of stochastic differential equations. SIAM journal on numerical analysis, 2007, 45(2): 592-609.
[3] Desmond J. Higham, Xuerong Mao, Andrew Stuart. Exponential mean-square stability of numerical solutions to stochastic
differential equations. LMS Journal of Computation and Mathematics, 2003, 6: 297-313.
[4] Peter E. Kloeden, Eckhard Platen. Numerical Solution of Stochastic Differential Equations. Berlin, Springer-Verlog, 1992.
[5] Xuerong Mao. Stochastic Differential Equations and Applications. 2
nd
Edition, Chichester, U.K, Horwood, 2007.
[6] Hutzenthaler, Martin, Arnulf Jentzen, Peter E. Kloeden. "Strong and weak divergence in finite time of Euler's method for
stochastic differential equations with non-globally Lipschitz continuous coefficients." Proceedings of the Royal Society A:
Mathematical, Physical and Engineering Science, 2011, 467(2130): 1563-1576.
[7] Bernt ksendal. Stochastic differential equations. Springer Berlin Heidelberg, 2003.
[8] Xuerong Mao, Yi Shen, Alison Gray. Almost sure exponential stability of backward EulerMaruyama discretizations for hybrid
stochastic differential equations. Journal of Computational and Applied Mathematics, 2011, 235(5): 1213-1226.
[9] Desmond J. Higham. Stochastic ordinary differential equations in applied and computational mathematics. IMA journal of
applied mathematics, 2011, 76(3): 449-474.

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AUTHORS
1
Wei Liu received his first degree from the University of Strathclyde in 2010, then he obtained his PhD degree
from Strathclyde in 2013. He is currently a research associate working at Loughborough University