Numerical analysis of explicit one-step methods for stochastic delay differential equations
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convergenceEuler-Maruyama schemenumerical examplesone-step methodsstochastic delay differential equations
Ordinary differential equations and systems with randomness (34F05) Stochastic functional-differential equations (34K50) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)
Recommendations
- Introduction to the numerical analysis of stochastic delay differential equations
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- Mean square convergence of one-step methods for neutral stochastic differential delay equations
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Cites work
- scientific article; zbMATH DE number 3936125 (Why is no real title available?)
- scientific article; zbMATH DE number 711262 (Why is no real title available?)
- scientific article; zbMATH DE number 1099342 (Why is no real title available?)
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- Modelling and analysis of time-lags in some basic patterns of cell proliferation
- Optimal approximation of stochastic differential equations by adaptive step-size control
- Ordinary and delay differential equations
- Probability with Martingales
- Stability Analysis of Numerical Schemes for Stochastic Differential Equations
- Step size control in the numerical solution of stochastic differential equations
- Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations
Cited in
(only showing first 100 items - show all)- The split-step backward Euler method for linear stochastic delay differential equations
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- Strong convergence of the split-step theta method for stochastic delay differential equations with nonglobally Lipschitz continuous coefficients
- Almost sure and \(L^p\) convergence of split-step backward Euler method for stochastic delay differential equation
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- Complete global analysis of a two-scale network SIRS epidemic dynamic model with distributed delay and random perturbations
- A Legendre-based computational method for solving a class of Itô stochastic delay differential equations
- Numerical investigation of noise induced changes to the solution behaviour of the discrete FitzHugh-Nagumo equation
- Large deviations for Gaussian diffusions with delay
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- Strong convergence rate of truncated Euler-Maruyama method for stochastic differential delay equations with Poisson jumps
- The strong convergence and stability of explicit approximations for nonlinear stochastic delay differential equations
- Analysis of a stochastic HBV infection model with delayed immune response
- Strong convergence and almost sure exponential stability of balanced numerical approximations to stochastic delay Hopfield neural networks
- Convergence and stability of exponential integrators for semi-linear stochastic pantograph integro-differential equations with jump
- The pricing of European options on two underlying assets with delays
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- Stability of numerical solutions for the stochastic pantograph differential equations with variable step size
- Growth and fluctuation in perturbed nonlinear Volterra equations
- Stability in mean for uncertain delay differential equations based on new Lipschitz conditions
- Stability equivalence among stochastic differential equations and stochastic differential equations with piecewise continuous arguments and corresponding Euler-Maruyama methods
- Mean-square stability of 1.5 strong convergence orders of diagonally drift Runge-Kutta methods for a class of stochastic differential equations
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- Projected Euler-Maruyama method for stochastic delay differential equations under a global monotonicity condition
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- Numerical analysis for some stochastic delay differential equations
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- Delay-dependent stability analysis of numerical methods for stochastic delay differential equations
- BIFURCATIONS IN APPROXIMATE SOLUTIONS OF STOCHASTIC DELAY DIFFERENTIAL EQUATIONS
- Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients
- Numerical Solutions of Stochastic Functional Differential Equations
- Delay-dependent exponential stability of the backward Euler method for nonlinear stochastic delay differential equations
- Convergence and asymptotic stability of the explicit Steklov method for stochastic differential equations
- Almost sure exponential stability of the Euler-Maruyama approximations for stochastic functional differential equations
- A Taylor method for stochastic differential equations with time-dependent delay via the polynomial condition
- The Partially Truncated Euler–Maruyama Method for Highly Nonlinear Stochastic Delay Differential Equations with Markovian Switching
- Preserving exponential mean square stability and decay rates in two classes of theta approximations of stochastic differential equations
- A general class of one-step approximation for index-1 stochastic delay-differential-algebraic equations
- A biologically motivated signal transmission approach based on stochastic delay differential equation
- Convergence and stability of Euler method for impulsive stochastic delay differential equations
- Deterministic and stochastic analysis of a delayed allelopathic phytoplankton model within fluctuating environment
- Strong convergence of Euler approximations of stochastic differential equations with delay under local Lipschitz condition
- Multi-Step Maruyama Methods for Stochastic Delay Differential Equations
- An application of Taylor series in the approximation of solutions to stochastic differential equations with time-dependent delay
- Convergence of the semi-implicit Euler method for neutral stochastic delay differential equations with phase semi-Markovian switching
- ON HALANAY-TYPE ANALYSIS OF EXPONENTIAL STABILITY FOR THE θ-MARUYAMA METHOD FOR STOCHASTIC DELAY DIFFERENTIAL EQUATIONS
- Preserving asymptotic mean-square stability of stochastic theta scheme for systems of stochastic delay differential equations
- Stochastic differential algebraic equations of index 1 and applications in circuit simulation.
- Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation
- Stability of numerical method for semi-linear stochastic pantograph differential equations
- Stochastic differential algebraic equations of index 1 and applications in circuit simulation.
- Convergence and stability of modified partially truncated Euler-Maruyama method for stochastic differential equations with piecewise continuous arguments
- Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions
- Runge-Kutta methods for jump-diffusion differential equations
- Some stabilities of stochastic differential equations with delay in the G-framework and Euler-Maruyama method
- On solving some stochastic delay differential equations by Daubechies wavelet
- On the stability of \(\theta\)-methods for DDEs and PDDEs
- On fractional linear multi-step methods for fractional order multi-delay nonlinear pantograph equation
- Stochastic Chebyshev-Picard iteration method for nonlinear differential equations with random inputs
- Numerical analysis of linearly implicit methods for a stochastic SIS epidemic model
- On the stability of IMEX BDF methods for DDEs and PDDEs
- Strong convergence of an implicit Euler-Maruyama scheme for Caputo stochastic fractional delay differential equations
- Density evolution in stochastic dynamical systems with memory: a universal algorithm
- Euler-Maruyama schemes for Caputo stochastic fractional delay differential equations
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