Spurious oscillation in a uniform Euler discretisation of linear stochastic differential equations with vanishing delay

DOI10.1016/J.CAM.2006.04.062zbMath1122.65011OpenAlexW2096160739MaRDI QIDQ885944

Cónall Kelly, John A. D. Appleby

Publication date: 14 June 2007

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.2006.04.062

zbMATH Keywords

OscillationDifference equationNonoscillationStochastic delay differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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 (2)

Stochastic and delayed stochastic models of gene expression and regulation ⋮ Non-positivity and oscillations of solutions of nonlinear stochastic difference equations with state-dependent noise

Uses Software

• SYSDEL

Cites Work

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• Oscillation of linear difference equations with deviating arguments
• Probability essentials.
• A numerical method for vanishing-lag delay differential equations
• Numerical approximations for a class of differential equations with time- and state-dependent delays
• Numerical Analysis of Explicit One-Step Methods for Stochastic Delay Differential Equations

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