Convergence and stability of the exponential Euler method for semi-linear stochastic delay differential equations

DOI10.1186/s13660-017-1518-5zbMath1372.65021OpenAlexW2761863794WikidataQ47106901 ScholiaQ47106901MaRDI QIDQ2410504

Ling Zhang

Publication date: 18 October 2017

Published in: Journal of Inequalities and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13660-017-1518-5

zbMATH Keywords

strong convergenceItô formulaLipschitz conditionexponential Euler methodstochastic delay differential equation

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (5)

Convergence and stability of exponential integrators for semi-linear stochastic variable delay integro-differential equations ⋮ MEAN SQUARE CONVERGENCE AND STABILITY OF BALANCED METHODS FOR STOCHASTIC VARIABLE DELAY DIFFERENTIAL EQUATIONS ⋮ Convergence and Mean-Square Stability of Exponential Euler Method for Semi-Linear Stochastic Delay Integro-Differential Equations ⋮ The convergence of a numerical scheme for additive fractional stochastic delay equations with \(H>\frac 12\) ⋮ Delay dependent asymptotic mean square stability analysis of the stochastic exponential Euler method

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• Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
• Almost Sure Exponential Stability in the Numerical Simulation of Stochastic Differential Equations
• Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations

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