Convergence and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments (Q507963)

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English	Convergence and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments	scientific article

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instance of

scholarly article

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title

Convergence and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments (English)

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zbMATH Open document ID

1376.60066

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DOI

10.1016/j.cam.2016.11.033

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Journal of Computational and Applied Mathematics

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publication date

9 February 2017

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Mathematics Subject Classification ID

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stochastic differential equations with piecewise continuous arguments

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split-step theta (SST) method

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monotone condition

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convergence of the SST method

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exponential mean square stability

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RODAS

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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.cam.2016.11.033

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OpenAlex ID

W2558543231

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cites work

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Existence and exponential stability of solutions for stochastic cellular neural networks with piecewise constant argument

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Stabilization of hybrid stochastic differential equations by feedback control based on discrete-time state observations

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Numerical solutions of stochastic differential equations with piecewise continuous arguments under Khasminskii-type conditions

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

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

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Q4866235

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

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

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B-convergence of split-step one-leg theta methods for stochastic differential equations

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Exponential mean square stability of numerical methods for systems of stochastic differential equations

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Stability Analysis of Numerical Schemes for Stochastic Differential Equations

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Choice of \({\theta}\) and mean-square exponential stability in the stochastic theta method of stochastic differential equations

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

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

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Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients

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Convergence and almost sure exponential stability of implicit numerical methods for a class of highly nonlinear neutral stochastic differential equations with constant delay

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Exponential stability of the exact solutions and \(\theta\)-EM approximations to neutral SDDEs with Markov switching

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Almost sure exponential stability of numerical solutions for stochastic delay differential equations

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

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Q4000061

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Asymptotic stability of Runge-Kutta methods for nonlinear differential equations with piecewise continuous arguments

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