Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation (Q596201): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.cam.2004.01.040 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2033096483 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Continuous \(\Theta\)-methods for the stochastic pantograph equation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical Analysis of Explicit One-Step Methods for Stochastic Delay Differential Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Introduction to the numerical analysis of stochastic delay differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean-Square and Asymptotic Stability of the Stochastic Theta Method / rank
 
Normal rank
Property / cites work
 
Property / cites work: Discrete-time approximations of stochastic delay equations: the Milstein scheme. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Higher-order implicit strong numerical schemes for stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3137918 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4868382 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Weak discrete time approximation of stochastic differential equations with time delay / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robustness of exponential stability of stochastic differential delay equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Razumikhin-type theorems on exponential stability of stochastic functional differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4338975 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical solutions of stochastic differential delay equations under local Lipschitz condition / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4319807 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3707054 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4860586 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stability Analysis of Numerical Schemes for Stochastic Differential Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Two-stage stochastic Runge-Kutta methods for stochastic differential equations / rank
 
Normal rank

Latest revision as of 18:40, 6 June 2024

scientific article
Language Label Description Also known as
English
Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation
scientific article

    Statements

    Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation (English)
    0 references
    0 references
    0 references
    0 references
    10 August 2004
    0 references
    The authors prove conditions under which the semi-implicit Euler method has strong order of convergence 1/2 for scalar, linear stochastic differential delay equations. They also investigate mean square stability in terms of the stepsize of the method and the problem parameters. Numerical results illustrate some of the theory.
    0 references
    0 references
    stochastic differential delay equations
    0 references
    semi-implicit Euler method
    0 references
    mean square stability
    0 references
    numerical results
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references