Stability of the split-step backward Euler scheme for stochastic delay integro-differential equations with Markovian switching
From MaRDI portal
Publication:718385
DOI10.1016/j.cnsns.2010.04.034zbMath1221.65016MaRDI QIDQ718385
Feng Jiang, Junhao Hu, Yi Shen
Publication date: 23 September 2011
Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cnsns.2010.04.034
stochastic delay integro-differential equations; general mean-square stable; mean-square stable; split-step backward Euler scheme
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
60J27: Continuous-time Markov processes on discrete state spaces
Related Items
Convergence and stability of exponential integrators for semi-linear stochastic variable delay integro-differential equations, Convergence and Mean-Square Stability of Exponential Euler Method for Semi-Linear Stochastic Delay Integro-Differential Equations, Strong Convergence of the Euler-Maruyama Method for a Class of Stochastic Volterra Integral Equations, An explicit approximation for super-linear stochastic functional differential equations, Split-step \(\theta\)-methods for stochastic age-dependent population equations with Markovian switching, Analytic approximation of the solutions of stochastic differential delay equations with Poisson jump and Markovian switching, \(T\)-stability of the split-step \(\theta\)-methods for linear stochastic delay integro-differential equations, The split-step \(\theta \)-methods for stochastic delay Hopfield neural networks, On mean square stability and dissipativity of split-step theta method for nonlinear neutral stochastic delay differential equations, Numerical schemes for stochastic differential equations with variable and distributed delays: the interpolation approach, Stability of highly nonlinear hybrid stochastic integro-differential delay equations, Split-step theta method for stochastic delay integro-differential equations with mean square exponential stability, Exponential mean-square stability of numerical solutions for stochastic delay integro-differential equations with Poisson jump, Strong convergence and stability of the split-step theta method for highly nonlinear neutral stochastic delay integro differential equation, Mean-square exponential stability of stochastic theta methods for nonlinear stochastic delay integro-differential equations
Cites Work
- Unnamed Item
- Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation
- Population dynamical behavior of Lotka-Volterra system under regime switching
- Exponential stability of equidistant Euler-Maruyama approximations of stochastic differential delay equations
- The split-step backward Euler method for linear stochastic delay differential equations
- Mean-square stability of Milstein method for linear hybrid stochastic delay integro-differential equations
- Mean square stability of semi-implicit Euler method for linear stochastic differential equations with multiple delays and Markovian switching
- An analysis of stability of Milstein method for stochastic differential equations with delay
- Numerical methods for nonlinear stochastic differential equations with jumps
- Convergence and stability of numerical solutions to SDDEs with Markovian switching
- AMERICAN OPTIONS WITH REGIME SWITCHING
- Convergence and stability of the semi-implicit Euler method for linear stochastic delay integro-differential equations
- Mean-Square and Asymptotic Stability of the Stochastic Theta Method
- Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
- Closed-Form Solutions for Perpetual American Put Options with Regime Switching
- Stochastic Differential Equations with Markovian Switching