Mean square convergence of one-step methods for neutral stochastic differential delay equations

DOI10.1016/j.amc.2008.07.034zbMath1155.65010MaRDI QIDQ2518671

Haomin Zhang, Si-qing Gan

Publication date: 16 January 2009

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

Full work available at URL: https://doi.org/10.1016/j.amc.2008.07.034

zbMATH Keywords

rate of convergence; consistency; numerical methods; mean square convergence; Lipschitz conditions; Milstein method; Euler-type methods; drift-implicit one-step schemes; neutral stochastic differential delay equations

Mathematics Subject Classification ID

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

34K50: Stochastic functional-differential equations

65C30: Numerical solutions to stochastic differential and integral equations

Related Items

Discrete gradient methods and linear projection methods for preserving a conserved quantity of stochastic differential equations, Stochastic symplectic partitioned Runge-Kutta methods for stochastic Hamiltonian systems with multiplicative noise, Mean-square stability of semi-implicit Euler method for nonlinear neutral stochastic delay differential equations, Mean-square convergence of drift-implicit one-step methods for neutral stochastic delay differential equations with jump diffusion, The existence and uniqueness of mild solutions to stochastic differential equations with Lévy noise, On mean-square stability of two-step Maruyama methods for nonlinear neutral stochastic delay differential equations, On the approximations of solutions to neutral SDEs with Markovian switching and jumps under non-Lipschitz conditions, Numerical solutions to neutral stochastic delay differential equations with Poisson jumps under local Lipschitz condition, Convergence and asymptotical stability of numerical solutions for neutral stochastic delay differential equations driven by \(G\)-Brownian motion, High-order stochastic symplectic partitioned Runge-Kutta methods for stochastic Hamiltonian systems with additive noise, Strong convergence of the split-step theta method for neutral stochastic delay differential equations, Strong convergence rates of modified truncated EM methods for neutral stochastic differential delay equations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Stability of functional differential equations
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Introduction to the numerical analysis of stochastic delay differential equations
• One-step approximations for stochastic functional differential equations