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

DOI10.1016/j.cam.2008.08.032zbMath1183.65007OpenAlexW2011826353MaRDI QIDQ1006019

Lin Hu, Haomin Zhang, Si-qing Gan

Publication date: 17 March 2009

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2008.08.032

zbMATH Keywords

numerical examplesmean-square stabilityfinite-time convergencestochastic delay differential equationsplit-step backward Euler method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Stochastic functional-differential equations (34K50) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

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• Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation
• Strong contractivity properties of numerical methods for ordinary and delay differential equations
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Introduction to the numerical analysis of stochastic delay differential equations
• Numerical solutions of stochastic differential delay equations under local Lipschitz condition
• Discrete-time approximations of stochastic delay equations: the Milstein scheme.
• An analysis of stability of Milstein method for stochastic differential equations with delay
• Numerical methods for nonlinear stochastic differential equations with jumps
• Exponential stability in \(p\)-th mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations
• Numerical Analysis of Explicit One-Step Methods for Stochastic Delay Differential Equations
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Multi-Step Maruyama Methods for Stochastic Delay Differential Equations

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