Asymptotic mean-square stability of explicit Runge-Kutta Maruyama methods for stochastic delay differential equations
Publication:898968
DOI10.1016/j.cam.2015.10.014zbMath1329.60235OpenAlexW1835939387MaRDI QIDQ898968
Mingming Qiu, Taketomo Mitsui, Qian Guo
Publication date: 21 December 2015
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.2015.10.014
mean-square stabilitystabilized methodstochastic delay differential equationsexplicit Runge-Kutta-Maruyama method
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for functional-differential equations (65L03)
Related Items
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Stability of analytical and numerical solutions of nonlinear stochastic delay differential equations
- Weak second order S-ROCK methods for Stratonovich stochastic differential equations
- A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems
- Delay-dependent stability analysis of numerical methods for stochastic delay differential equations
- Split-step Milstein methods for multi-channel stiff stochastic differential systems
- Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation
- Exponential stability of equidistant Euler-Maruyama approximations of stochastic differential delay equations
- Mean-square stability of second-order Runge-Kutta methods for multi-dimensional linear stochastic differential systems
- Almost sure exponential stability of numerical solutions for stochastic delay differential equations
- A delay stochastic process with applications in molecular biology
- S-ROCK methods for stiff Itô SDEs
- An approximate method via Taylor series for stochastic functional differential equations
- Mean-square stability of numerical schemes for stochastic differential systems
- Introduction to the numerical analysis of stochastic delay differential equations
- Numerical solutions of stochastic differential delay equations under local Lipschitz condition
- Discrete-time approximations of stochastic delay equations: the Milstein scheme.
- Strong first order \(S\)-ROCK methods for stochastic differential equations
- Mean square stability and dissipativity of two classes of theta methods for systems of stochastic delay differential equations
- Almost sure exponential stability of the backward Euler-Maruyama scheme for stochastic delay differential equations with monotone-type condition
- An analysis of stability of Milstein method for stochastic differential equations with delay
- Exponential stability in \(p\)-th mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations
- Numerical Analysis of Explicit One-Step Methods for Stochastic Delay Differential Equations
- Weak Second Order Explicit Stabilized Methods for Stiff Stochastic Differential Equations
- The improved split-step backward Euler method for stochastic differential delay equations
- Solving Ordinary Differential Equations I
- Numerical Methods for Stochastic Delay Differential Equations Via the Wong--Zakai Approximation
- Second Order Runge–Kutta Methods for Itô Stochastic Differential Equations
- S-ROCK: Chebyshev Methods for Stiff Stochastic Differential Equations
- Partitioned kronecker products of matrices and applications
- The Milstein Scheme for Stochastic Delay Differential Equations Without Using Anticipative Calculus
- Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations
- Multi-Step Maruyama Methods for Stochastic Delay Differential Equations
