Mean-square stability of Milstein method for linear hybrid stochastic delay integro-differential equations

DOI10.1016/j.nahs.2008.09.015zbMath1163.93398OpenAlexW2002467924MaRDI QIDQ1026405

A. Rathinasamy, Krishnan Balachandran

Publication date: 24 June 2009

Published in: Nonlinear Analysis. Hybrid Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.nahs.2008.09.015

zbMATH Keywords

numerical methodsmean-square stabilityMarkovian switchingstochastic delay integro-differential equations

Mathematics Subject Classification ID

Related Items (20)

Convergence and stability of exponential integrators for semi-linear stochastic variable delay integro-differential equations ⋮ Analysis of stability for stochastic delay integro-differential equations ⋮ A note on stability of the split-step backward Euler method for linear stochastic delay integro-differential equations ⋮ Convergence and Mean-Square Stability of Exponential Euler Method for Semi-Linear Stochastic Delay Integro-Differential Equations ⋮ Stationary distribution of the Milstein scheme for stochastic differential delay equations with first-order convergence ⋮ Strong convergence and stability of the split-step theta method for highly nonlinear neutral stochastic delay integro differential equation ⋮ An explicit approximation for super-linear stochastic functional differential equations ⋮ Mean-square stability of semi-implicit Euler method for nonlinear neutral stochastic delay differential equations ⋮ \(T\)-stability of the split-step \(\theta\)-methods for linear stochastic delay integro-differential equations ⋮ A class of stochastic differential equations with the time average ⋮ Stability of highly nonlinear hybrid stochastic integro-differential delay equations ⋮ Stability of stochasticθ-methods for stochastic delay integro-differential equations ⋮ Some results on almost sure stability of non-autonomous stochastic differential equations with Markovian switching ⋮ Stability analysis of split-step \(\theta \)-Milstein method for a class of \(n\)-dimensional stochastic differential equations ⋮ Split-step theta method for stochastic delay integro-differential equations with mean square exponential stability ⋮ 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 ⋮ Switching-dominated stability of numerical solutions for hybrid neutral stochastic differential delay equations ⋮ Mean-square exponential stability of stochastic theta methods for nonlinear stochastic delay integro-differential equations ⋮ Exponential mean-square stability of numerical solutions for stochastic delay integro-differential equations with Poisson jump

Cites Work

• Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation
• MS-stability of the Euler--Maruyama method for stochastic differential delay equations
• Mean-square stability of second-order Runge-Kutta methods for multi-dimensional linear stochastic differential systems
• On a dual hybrid queueing system
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Stability of \(\vartheta\)-methods for delay integro-differential equations.
• Stochastic differential delay equations with Markovian switching
• An analysis of stability of Milstein method for stochastic differential equations with delay
• Reliability of difference analogues to preserve stability properties of stochastic Volterra integro-differential equations
• Convergence and stability of numerical solutions to SDDEs with Markovian switching
• Convergence and stability of the semi-implicit Euler method for linear stochastic delay integro-differential equations
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Stochastic Differential Equations with Markovian Switching

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