Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients (Q475669)

scientific article; zbMATH DE number 6374502

Language	Label	Description	Also known as
default for all languages	No label defined
English	Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients	scientific article; zbMATH DE number 6374502

Statements

instance of

scholarly article

0 references

title

Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients (English)

0 references

0 references

0 references

0 references

Journal of Computational and Applied Mathematics

0 references

publication date

27 November 2014

0 references

zbMATH Keywords

stochastic differential delay equation

0 references

split-step theta scheme

0 references

stochastic linear theta scheme

0 references

strong convergence rate

0 references

exponential mean square stability

0 references

MaRDI profile type

MaRDI publication profile

0 references

full work available at URL

https://doi.org/10.1016/j.cam.2014.10.014

0 references

cites work

Q4369402

0 references

Stochastic Differential Delay Equation, Moment Stability, and Application to Hematopoietic Stem Cell Regulation System

0 references

Infinite horizon optimal control of forward-backward stochastic differential equations with delay

0 references

LaSalle-type theorems for stochastic differential delay equations

0 references

Stochastic differential delay equations with Markovian switching

0 references

Existence and uniqueness of solutions of stochastic functional differential equations

0 references

Almost sure asymptotic stability analysis of the \(\theta\)-Maruyama method applied to a test system with stabilising and destabilising stochastic perturbations

0 references

Numerical Solutions of Stochastic Differential Delay Equations with Jumps

0 references

Multi-Step Maruyama Methods for Stochastic Delay Differential Equations

0 references

The Milstein scheme for stochastic delay differential equations without using anticipative calculus

0 references

Weak convergence of the Euler scheme for stochastic differential delay equations

0 references

Numerical analysis of explicit one-step methods for stochastic delay differential equations

0 references

Discrete-time approximations of stochastic delay equations: the Milstein scheme.

0 references

Higher-order implicit strong numerical schemes for stochastic differential equations

0 references

Convergence of the stochastic Euler scheme for locally Lipschitz coefficients

0 references

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

0 references

Q4866235

0 references

Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations

0 references

Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems

0 references

Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift

0 references

Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients

0 references

The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients

0 references

Convergence and stability of the semi-tamed Euler scheme for stochastic differential equations with non-Lipschitz continuous coefficients

0 references

Strong convergence rates for backward Euler-Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients

0 references

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

0 references

Convergence of numerical methods for stochastic differential equations in mathematical finance

0 references

A note on Euler approximations for stochastic differential equations with delay

0 references

Convergence rate of numerical solutions to SFDEs with jumps

0 references

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

0 references

Numerical solutions of stochastic differential delay equations under local Lipschitz condition

0 references

Numerical Solutions of Stochastic Functional Differential Equations

0 references

Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions

0 references

Convergence rate of EM scheme for SDDEs

0 references

Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations

0 references

Mean square stability and dissipativity of two classes of theta methods for systems of stochastic delay differential equations

0 references

The improved split-step backward Euler method for stochastic differential delay equations

0 references

Stability of analytical and numerical solutions of nonlinear stochastic delay differential equations

0 references

Preserving exponential mean square stability and decay rates in two classes of theta approximations of stochastic differential equations

0 references

The boundedness and exponential stability criterions for nonlinear hybrid neutral stochastic functional differential equations

0 references

Identifiers

zbMATH Open document ID

1306.65011

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

0 references

0 references

0 references

10.1016/J.CAM.2014.10.014

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:475669