Delay dependent asymptotic mean square stability analysis of the stochastic exponential Euler method

DOI10.1016/J.CAM.2020.113068zbMath1485.65013OpenAlexW3035877108WikidataQ115581017 ScholiaQ115581017MaRDI QIDQ2196035

Peng Hu, Cheng-Ming Huang

Publication date: 28 August 2020

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.2020.113068

zbMATH Keywords

asymptotic mean square stabilitystochastic delay differential equationsdelay dependent stabilitystochastic delay partial differential equationsstochastic exponential Euler method

Mathematics Subject Classification ID

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 (6)

Exponential stability and synchronisation of fuzzy Mittag–Leffler discrete-time Cohen–Grossberg neural networks with time delays ⋮ Global mean-square exponential stability and random periodicity of discrete-time stochastic inertial neural networks with discrete spatial diffusions and Dirichlet boundary condition ⋮ Finite element approximation for Maxwell's equations with Debye memory under a nonlinear boundary feedback with delay ⋮ Random periodic sequence of globally mean-square exponentially stable discrete-time stochastic genetic regulatory networks with discrete spatial diffusions ⋮ Existence and asymptotic behavior of square-mean S-asymptotically periodic solutions for stochastic evolution equation involving delay ⋮ Exponential Euler scheme of multi-delay Caputo-Fabrizio fractional-order differential equations

Cites Work

• Unnamed Item
• A note on the analysis of asymptotic mean-square stability properties for systems of linear stochastic delay differential equations
• Stability of analytical and numerical solutions of nonlinear stochastic delay differential equations
• Delay-dependent stability analysis of numerical methods for stochastic delay differential equations
• A stochastic exponential Euler scheme for simulation of stiff biochemical reaction systems
• Stability of exponential Euler method for stochastic systems under Poisson white noise excitations
• An exponential integrator scheme for time discretization of nonlinear stochastic wave equation
• Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation
• The exponential integrator scheme for stochastic partial differential equations: Pathwise error bounds
• The convergence and MS stability of exponential Euler method for semilinear stochastic differential equations
• Weak convergence for a stochastic exponential integrator and finite element discretization of stochastic partial differential equation with multiplicative \& additive noise
• A class of explicit multistep exponential integrators for semilinear problems
• \(\theta\)-Maruyama methods for nonlinear stochastic differential delay equations
• Asymptotic mean-square stability of explicit Runge-Kutta Maruyama methods for stochastic delay differential equations
• Almost sure exponential stability of numerical solutions for stochastic delay differential equations
• Delay-dependent stability of high order Runge-Kutta methods
• The split-step backward Euler method for linear stochastic delay differential equations
• Almost sure exponential stability of an explicit stochastic orthogonal Runge-Kutta-Chebyshev method for stochastic delay differential equations
• Exponential Runge-Kutta methods for parabolic problems.
• Discrete-time approximations of stochastic delay equations: the Milstein scheme.
• On exponential mean-square stability of two-step Maruyama methods for stochastic delay differential equations
• Delay dependent stability of stochastic split-step \(\theta\) methods for stochastic delay differential equations
• Mean square stability and dissipativity of two classes of theta methods for systems of stochastic delay differential equations
• Convergence and stability of the exponential Euler method for semi-linear stochastic delay differential equations
• A modified Milstein scheme for approximation of stochastic delay differential equations with constant time lag
• Split-step \({\theta}\)-method for stochastic delay differential equations
• A derivative-free explicit method with order 1.0 for solving stochastic delay differential equations
• An analysis of stability of Milstein method for stochastic differential equations with delay
• A class of explicit exponential general linear methods
• Numerical solution of stochastic differential problems in the biosciences
• Geometric Brownian motion with delay: mean square characterisation
• Delay dependent stability regions of  -methods for delay differential equations
• Computing stability regions—Runge-Kutta methods for delay differential equations
• Stochastic Consentability of Linear Systems With Time Delays and Multiplicative Noises
• An Analysis of Delay-Dependent Stability for Ordinary and Partial Differential Equations with Fixed and Distributed Delays
• Lyapunov Functionals and Stability of Stochastic Functional Differential Equations
• Stochastic exponential integrators for the finite element discretization of SPDEs for multiplicative and additive noise
• Exponential Rosenbrock-Type Methods
• The Milstein Scheme for Stochastic Delay Differential Equations Without Using Anticipative Calculus
• Multi-Step Maruyama Methods for Stochastic Delay Differential Equations

This page was built for publication: Delay dependent asymptotic mean square stability analysis of the stochastic exponential Euler method