Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients

DOI10.1016/J.CAM.2014.10.014zbMath1306.65011OpenAlexW2095272332MaRDI QIDQ475669

Xiaofeng Zong, Fuke Wu, Cheng-Ming Huang

Publication date: 27 November 2014

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2014.10.014

zbMATH Keywords

exponential mean square stabilitystochastic differential delay equationsplit-step theta schemestochastic linear theta schemestrong convergence rate

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (30)

A note on strong convergence of implicit scheme for SDEs under local one-sided Lipschitz conditions ⋮ Analysis of non-negativity and convergence of solution of the balanced implicit method for the delay Cox-Ingersoll-Ross model ⋮ Almost sure exponential stability of the Milstein-type schemes for stochastic delay differential equations ⋮ Convergence and stability of the compensated split-step theta method for stochastic differential equations with piecewise continuous arguments driven by Poisson random measure ⋮ The stochastic \(\theta\) method for stationary distribution of stochastic differential equations with Markovian switching ⋮ Almost sure convergence rate of \(\theta\)-EM scheme for neutral SDDEs ⋮ Preserving asymptotic mean-square stability of stochastic theta scheme for systems of stochastic delay differential equations ⋮ A theta-scheme approximation of basic reproduction number for an age-structured epidemic system in a finite horizon ⋮ Stationary distribution of the stochastic theta method for nonlinear stochastic differential equations ⋮ Convergence and stability of stochastic theta method for nonlinear stochastic differential equations with piecewise continuous arguments ⋮ Numerical solution of stochastic state-dependent delay differential equations: convergence and stability ⋮ Numerical solution to highly nonlinear neutral-type stochastic differential equation ⋮ Strong convergence and stability of the split-step theta method for highly nonlinear neutral stochastic delay integro differential equation ⋮ Double-implicit and split two-step Milstein schemes for stochastic differential equations ⋮ On strong convergence of explicit numerical methods for stochastic delay differential equations under non-global Lipschitz conditions ⋮ Strong convergence of the split-step backward Euler method for stochastic delay differential equations with a nonlinear diffusion coefficient ⋮ Convergence and stability of two classes of theta-Milstein schemes for stochastic differential equations ⋮ Complete backward Euler numerical scheme for general SFDEs with exponential stability under the polynomial growth condition ⋮ Convergence of the compensated split-step \(\theta\)-method for nonlinear jump-diffusion systems ⋮ Convergence and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments ⋮ Split-step balanced \(\theta \)-method for SDEs with non-globally Lipschitz continuous coefficients ⋮ Property and numerical simulation of the Ait-Sahalia-Rho model with nonlinear growth conditions ⋮ Convergence rate and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments ⋮ The projected explicit Itô-Taylor methods for stochastic differential equations under locally Lipschitz conditions and polynomial growth conditions ⋮ Strong convergence of compensated split-step theta methods for SDEs with jumps under monotone condition ⋮ Projected Euler-Maruyama method for stochastic delay differential equations under a global monotonicity condition ⋮ Positivity preserving logarithmic Euler-Maruyama type scheme for stochastic differential equations ⋮ Convergence rates of theta-method for NSDDEs under non-globally Lipschitz continuous coefficients ⋮ Almost sure exponential stability of the θ-Euler-Maruyama method for neutral stochastic differential equations with time-dependent delay when θ ∈ [0; 1 2] ⋮ Convergence and stability of split-step theta methods with variable step-size for stochastic pantograph differential equations

Cites Work

• Unnamed Item
• Unnamed Item
• Stability of analytical and numerical solutions of nonlinear stochastic delay differential equations
• Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
• Convergence and stability of the semi-tamed Euler scheme for stochastic differential equations with non-Lipschitz continuous coefficients
• Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions
• Convergence rate of numerical solutions to SFDEs with jumps
• Convergence of the stochastic Euler scheme for locally Lipschitz coefficients
• Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems
• Higher-order implicit strong numerical schemes for stochastic differential equations
• LaSalle-type theorems for stochastic differential delay equations
• Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Numerical solutions of stochastic differential delay equations under local Lipschitz condition
• Discrete-time approximations of stochastic delay equations: the Milstein scheme.
• Stochastic differential delay equations with Markovian switching
• The boundedness and exponential stability criterions for nonlinear hybrid neutral stochastic functional differential equations
• Mean square stability and dissipativity of two classes of theta methods for systems of stochastic delay differential equations
• The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions
• Infinite horizon optimal control of forward-backward stochastic differential equations with delay
• Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift
• A note on Euler approximations for stochastic differential equations with delay
• Numerical Analysis of Explicit One-Step Methods for Stochastic Delay Differential Equations
• Convergence rate of EM scheme for \normalfont𝑆𝐷𝐷𝐸𝑠
• Convergence of numerical methods for stochastic differential equations in mathematical finance
• Weak Convergence of the Euler Scheme for Stochastic Differential Delay Equations
• The improved split-step backward Euler method for stochastic differential delay equations
• Existence and uniqueness of solutions of stochastic functional differential equations
• Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Numerical Solutions of Stochastic Differential Delay Equations with Jumps
• Stochastic Differential Delay Equation, Moment Stability, and Application to Hematopoietic Stem Cell Regulation System
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Numerical Solutions of Stochastic Functional Differential Equations
• Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
• The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients
• Preserving exponential mean square stability and decay rates in two classes of theta approximations of stochastic differential equations
• Almost sure asymptotic stability analysis of the θ-Maruyama method applied to a test system with stabilising and destabilising stochastic perturbations
• The Milstein Scheme for Stochastic Delay Differential Equations Without Using Anticipative Calculus
• Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
• Multi-Step Maruyama Methods for Stochastic Delay Differential Equations

This page was built for publication: Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients