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

DOI10.1016/J.CAM.2008.08.032zbMATH Open1183.65007OpenAlexW2011826353MaRDI QIDQ1006019FDOQ1006019

Authors: Haomin Zhang, Lin Hu, Siqing 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

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zbMATH Keywords

numerical examplesfinite-time convergencemean-square stabilitysplit-step backward Euler methodstochastic delay differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Stochastic functional-differential equations (34K50) 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) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Cites Work

• Higher-order implicit strong numerical schemes for stochastic differential equations
• Title not available (Why is that?)
• Strong contractivity properties of numerical methods for ordinary and delay differential equations
• Introduction to the numerical analysis of stochastic delay differential equations
• Numerical solutions of stochastic differential delay equations under local Lipschitz condition
• 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
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation
• Discrete-time approximations of stochastic delay equations: the Milstein scheme.
• Title not available (Why is that?)
• An analysis of stability of Milstein method for stochastic differential equations with delay
• Numerical analysis of explicit one-step methods for stochastic delay differential equations
• Multi-Step Maruyama Methods for Stochastic Delay Differential Equations

Cited In (36)

• Delay dependent stability of stochastic split-step \(\theta\) methods for stochastic delay differential equations
• Strong convergence of the split-step theta method for stochastic delay differential equations with nonglobally Lipschitz continuous coefficients
• Numerical schemes for stochastic differential equations with variable and distributed delays: the interpolation approach
• Stability of analytical and numerical solutions of nonlinear stochastic delay differential equations
• Stability of analytical and numerical solutions for nonlinear stochastic delay differential equations with jumps
• Split-step forward Euler methods for solving stochastic delay differential equations
• Delay-dependent stability of predictor-corrector methods of Runge-Kutta type for stochastic delay differential equations
• A Legendre-based computational method for solving a class of Itô stochastic delay differential equations
• Numerical approximation of stochastic differential delay equation with coefficients of polynomial growth
• Stability of stochastic \(\theta \)-methods for stochastic delay integro-differential equations
• Split-step \({\theta}\)-method for stochastic delay differential equations
• Strong convergence of the split-step backward Euler method for stochastic delay differential equations with a nonlinear diffusion coefficient
• Divergence of the backward Euler method for ordinary stochastic differential equations
• Mean-square stability of semi-implicit Euler method for nonlinear neutral stochastic delay differential equations
• Asymptotic mean square boundedness of numerical solutions to stochastic delay differential equations
• Convergence and stability of the split-step backward Euler method for linear stochastic delay integro-differential equations
• Stability of the split-step backward Euler scheme for stochastic delay integro-differential equations with Markovian switching
• Exponential stability and numerical methods of stochastic recurrent neural networks with delays
• Almost sure and \(L^p\) convergence of split-step backward Euler method for stochastic delay differential equation
• Strong convergence of the split-step theta method for neutral stochastic delay differential equations
• Stability analysis of split-step forward Euler method for linear stochastic delay differential equations
• T-stability of split-step backward Euler method for stochastic delay differential equations
• Numerical solution of stochastic state-dependent delay differential equations: convergence and stability
• A note on stability of the split-step backward Euler method for linear stochastic delay integro-differential equations
• Mean-square exponential stability of stochastic theta methods for nonlinear stochastic delay integro-differential equations
• Delay dependent asymptotic mean square stability analysis of the stochastic exponential Euler method
• Delay-dependent exponential stability of the backward Euler method for nonlinear stochastic delay differential equations
• \(T\)-stability of the split-step \(\theta\)-methods for linear stochastic delay integro-differential equations
• A robust weak Taylor approximation scheme for solutions of jump-diffusion stochastic delay differential equations
• Convergence and stability of the split-step \(\theta\)-Milstein method for stochastic delay Hopfield neural networks
• The improved split-step backward Euler method for stochastic differential delay equations
• Convergence and stability of exponential Euler method for linear stochastic differential equations with variable delay
• Pathwise convergence under Knightian uncertainty
• On mean square stability and dissipativity of split-step theta method for nonlinear neutral stochastic delay differential equations
• Convergence and stability of split-step θ methods for stochastic variable delay differential equations
• Convergence of a split-step Milstein method for linear stochastic delay differential equations

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