Multi-Step Maruyama Methods for Stochastic Delay Differential Equations

DOI10.1080/07362990701540311zbMath1132.60052OpenAlexW2084827643MaRDI QIDQ5421603

Evelyn Buckwar, Renate Winkler

Publication date: 24 October 2007

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: http://edoc.hu-berlin.de/18452/3239

zbMATH Keywords

strong convergencestochastic delay differential equationsItô formula for stochastic delay differential equationslinear multi-step Maruyama methods

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (18)

On mean-square stability of two-step Maruyama methods for nonlinear neutral stochastic delay differential equations ⋮ Asymptotic mean square stability of predictor-corrector methods for stochastic delay ordinary and partial differential equations ⋮ Double-implicit and split two-step Milstein schemes for stochastic differential equations ⋮ Asymptotic mean-square stability of explicit Runge-Kutta Maruyama methods for stochastic delay differential equations ⋮ Delay dependent asymptotic mean square stability analysis of the stochastic exponential Euler method ⋮ Generalized seizures in a neural field model with bursting dynamics ⋮ Unnamed Item ⋮ Runge-Kutta methods for jump-diffusion differential equations ⋮ Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients ⋮ Numerical investigation of noise induced changes to the solution behaviour of the discrete FitzHugh-Nagumo equation ⋮ Utilizing Topological Data Analysis for Studying Signals of Time-Delay Systems ⋮ Delay dependent stability of stochastic split-step \(\theta\) methods for stochastic delay differential equations ⋮ Mean square stability and almost sure exponential stability of two step Maruyama methods of stochastic delay Hopfield neural networks ⋮ Two-step Maruyama schemes for nonlinear stochastic differential delay equations ⋮ The split-step backward Euler method for linear stochastic delay differential equations ⋮ Characterization of bistability for stochastic multistep methods ⋮ Exponential stability in \(p\)-th mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations ⋮ Convergence and stability of split-step theta methods with variable step-size for stochastic pantograph differential equations

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