Numerical approximation of nonlinear neutral stochastic functional differential equations

DOI10.1007/S12190-012-0605-5zbMath1300.34183OpenAlexW2040420747MaRDI QIDQ2511156

Shaobo Zhou, Zheng Fang

Publication date: 5 August 2014

Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s12190-012-0605-5

zbMATH Keywords

numerical approximationconvergence in probabilitypolynomial growth conditionsneutral stochastic functional differential equationEuler-Maruyama method

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Neutral functional-differential equations (34K40)

Related Items (16)

Strong convergence of implicit numerical methods for nonlinear stochastic functional differential equations ⋮ Almost sure exponential stability of the backward Euler-Maruyama discretization for highly nonlinear stochastic functional differential equation ⋮ Numerical approximation of stochastic differential delay equation with coefficients of polynomial growth ⋮ Existence, uniqueness and almost surely asymptotic estimations of the solutions to neutral stochastic functional differential equations driven by pure jumps ⋮ On mean square stability and dissipativity of split-step theta method for nonlinear neutral stochastic delay differential equations ⋮ Numerical solution to highly nonlinear neutral-type stochastic differential equation ⋮ Strong convergence and stability of backward Euler-Maruyama scheme for highly nonlinear hybrid stochastic differential delay equation ⋮ Continuity and approximation properties of solutions to fractional neutral stochastic functional differential equations with non-Lipschitz coefficients ⋮ On stability of numerical solutions of neutral stochastic delay differential equations with time‐dependent delay ⋮ Implicit numerical solutions to neutral-type stochastic systems with superlinearly growing coefficients ⋮ Almost surely exponential stability of numerical solutions for stochastic pantograph equations ⋮ Exponential stability of numerical solution to neutral stochastic functional differential equation ⋮ Strong convergence of the split-step theta method for neutral stochastic delay differential equations ⋮ Stability in distribution of numerical solution of neutral stochastic functional differential equations with infinite delay ⋮ Almost sure and mean square exponential stability of numerical solutions for neutral stochastic functional differential equations ⋮ Convergence rate of Euler-Maruyama scheme for SDDEs of neutral type

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