Numerical solution to highly nonlinear neutral-type stochastic differential equation (Q2419489)

scientific article

Language	Label	Description	Also known as
English	Numerical solution to highly nonlinear neutral-type stochastic differential equation	scientific article

Statements

instance of

scholarly article

0 references

title

Numerical solution to highly nonlinear neutral-type stochastic differential equation (English)

0 references

0 references

0 references

Applied Numerical Mathematics

0 references

publication date

13 June 2019

0 references

zbMATH Keywords

neutral-type stochastic differential equation

0 references

backward Euler-Maruyama method

0 references

strong convergence

0 references

convergence rate

0 references

boundedness

0 references

MaRDI profile type

MaRDI publication profile

0 references

full work available at URL

https://doi.org/10.1016/j.apnum.2019.01.014

0 references

cites work

Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients

0 references

Tamed EM scheme of neutral stochastic differential delay equations

0 references

Q4303533

0 references

Razumikhin-Type Theorems on Exponential Stability of Neutral Stochastic Differential Equations

0 references

Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients

0 references

Almost sure exponential stability of backward Euler-Maruyama discretizations for hybrid stochastic differential equations

0 references

Highly nonlinear neutral stochastic differential equations with time-dependent delay and the Euler-Maruyama method

0 references

Almost sure exponential stability of solutions to highly nonlinear neutral stochastic differential equations with time-dependent delay and the Euler-Maruyama approximation

0 references

Stability of a class of neutral stochastic differential equations with unbounded delay and Markovian switching and the Euler-Maruyama method

0 references

Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model

0 references

Mean-square stability of semi-implicit Euler method for nonlinear neutral stochastic delay differential equations

0 references

Numerical Solutions of Neutral Stochastic Functional Differential Equations

0 references

The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions

0 references

Robustness of general decay stability of nonlinear neutral stochastic functional differential equations with infinite delay

0 references

Strong convergence of the split-step theta method for neutral stochastic delay differential equations

0 references

\(H_\infty \) filtering for linear neutral systems with mixed time-varying delays and nonlinear perturbations

0 references

Strong convergence and stability of backward Euler-Maruyama scheme for highly nonlinear hybrid stochastic differential delay equation

0 references

Exponential stability of numerical solution to neutral stochastic functional differential equation

0 references

Numerical approximation of nonlinear neutral stochastic functional differential equations

0 references

Strong convergence of implicit numerical methods for nonlinear stochastic functional differential equations

0 references

Stochastic functional differential equations with infinite delay

0 references

Robustness of hybrid neutral differential systems perturbed by noise

0 references

Exponential stability of the exact and numerical solutions for neutral stochastic delay differential equations

0 references

Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients

0 references

Exponential mean square stability of the theta approximations for neutral stochastic differential delay equations

0 references

Identifiers

DOI

10.1016/j.apnum.2019.01.014

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:2419489