Strong convergence of the split-step backward Euler method for stochastic delay differential equations with a nonlinear diffusion coefficient

DOI10.1016/j.cam.2020.113087zbMath1484.65019OpenAlexW3043220966WikidataQ115359729 ScholiaQ115359729MaRDI QIDQ2196055

Chao Yue, Longbin Zhao

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.2020.113087

zbMATH Keywords

strong convergencesplit-step backward Euler methodstochastic delay differential equationsstochastic B-consistencystochastic C-stability

Mathematics Subject Classification ID

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

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Solution of variable‐order partial integro‐differential equation using Legendre wavelet approximation and operational matrices

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