Stability of stochasticθ-methods for stochastic delay integro-differential equations

DOI10.1080/00207160.2010.509430zbMath1222.65010OpenAlexW2191624112MaRDI QIDQ3008351

Peng Hu, Cheng-Ming Huang

Publication date: 15 June 2011

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2010.509430

zbMATH Keywords

mean square stabilitylinear stochastic difference equationlinear stochastic delay integro-differential equationsstochastic \(\theta \)-methods

Mathematics Subject Classification ID

Integro-ordinary differential equations (45J05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20) Random integral equations (45R05)

Related Items (13)

Analysis of stability for stochastic delay integro-differential equations ⋮ A robust weak Taylor approximation scheme for solutions of jump-diffusion stochastic delay differential equations ⋮ Convergence of the balanced Euler method for a class of stochastic Volterra integro-differential equations with non-globally Lipschitz continuous coefficients ⋮ Stability of analytical and numerical solutions for nonlinear stochastic delay differential equations with jumps ⋮ Strong convergence and stability of the split-step theta method for highly nonlinear neutral stochastic delay integro differential equation ⋮ Stability of the analytic solution and the partially truncated Euler–Maruyama method for a class of stochastic Volterra integro-differential equations with non-globally Lipschitz continuous coefficients ⋮ Stochastic \(\theta\)-methods for a class of jump-diffusion stochastic pantograph equations with random magnitude ⋮ Stability of highly nonlinear hybrid stochastic integro-differential delay equations ⋮ Convergence and stability of Euler method for impulsive stochastic delay differential equations ⋮ Theoretical and numerical analysis of a class of stochastic Volterra integro-differential equations with non-globally Lipschitz continuous coefficients ⋮ Exponential stability and numerical methods of stochastic recurrent neural networks with delays ⋮ Theoretical and numerical analysis of the Euler-Maruyama method for generalized stochastic Volterra integro-differential equations ⋮ Compensated stochastic theta methods for stochastic differential delay equations with jumps

Cites Work

• Unnamed Item
• Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation
• MS-stability of the Euler--Maruyama method for stochastic differential delay equations
• Exponential stability of equidistant Euler-Maruyama approximations of stochastic differential delay equations
• The split-step backward Euler method for linear stochastic delay differential equations
• Mean-square stability of Milstein method for linear hybrid stochastic delay integro-differential equations
• Razumikhin-type theorems on exponential stability of stochastic functional differential equations
• Numerical solutions of stochastic differential delay equations under local Lipschitz condition
• Convergence of numerical solutions to stochastic differential delay equations with Poisson jump and Markovian switching
• A modified Milstein scheme for approximation of stochastic delay differential equations with constant time lag
• An analysis of stability of Milstein method for stochastic differential equations with delay
• Exponential stability in \(p\)-th mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations
• Convergence and stability of the semi-implicit Euler method for linear stochastic delay integro-differential equations
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Numerical Methods for Delay Differential Equations
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations

This page was built for publication: Stability of stochasticθ-methods for stochastic delay integro-differential equations