Stability analysis of split-step \(\theta \)-Milstein method for a class of \(n\)-dimensional stochastic differential equations (Q2008838)

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English	Stability analysis of split-step \(\theta \)-Milstein method for a class of \(n\)-dimensional stochastic differential equations	scientific article

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instance of

scholarly article

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title

Stability analysis of split-step \(\theta \)-Milstein method for a class of \(n\)-dimensional stochastic differential equations (English)

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zbMATH Open document ID

1429.65014

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DOI

10.1016/j.amc.2018.10.040

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author

Davood Ahmadian

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O. Farkhondeh Rouz

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Luca Vincenzo Ballestra

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published in

Applied Mathematics and Computation

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publication date

26 November 2019

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Mathematics Subject Classification ID

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split-step theta Milstein method

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exponential mean-square stability

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stochastic delay differential equations

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.amc.2018.10.040

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OpenAlex ID

W2905581454

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cites work

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Almost sure exponential stability of the backward Euler-Maruyama scheme for stochastic delay differential equations with monotone-type condition

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Mean square stability of two classes of theta method for neutral stochastic differential delay equations

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Exponential stability of equidistant Euler-Maruyama approximations of stochastic differential delay equations

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Stochastic differential delay equations of population dynamics

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Global attractivity in a delay differential equation with application in a commodity model

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Delay-dependent exponential stability of the backward Euler method for nonlinear stochastic delay differential equations

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Mean-square stability of Milstein method for linear hybrid stochastic delay integro-differential equations

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The estimation of parameters for stochastic differential equations using neural networks

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Split-step Adams–Moulton Milstein methods for systems of stiff stochastic differential equations

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\(\theta\)-Maruyama methods for nonlinear stochastic differential delay equations

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An analysis of stability of Milstein method for stochastic differential equations with delay

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Discrete Razumikhin-type technique and stability of the Euler-Maruyama method to stochastic functional differential equations

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Almost sure exponential stability for time-changed stochastic differential equations

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