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

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

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