Asymptotic exponential stability of modified truncated EM method for neutral stochastic differential delay equations
From MaRDI portal
Publication:1636773
DOI10.1016/j.cam.2018.03.001zbMath1391.65021OpenAlexW2794445707WikidataQ115581072 ScholiaQ115581072MaRDI QIDQ1636773
Publication date: 12 June 2018
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.2018.03.001
almost sure exponential stabilitymean-square exponential stabilitymodified truncated Euler-Maruyama methodneutral stochastic differential delay equations
Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items
Polynomial stability of exact solution and a numerical method for stochastic differential equations with time-dependent delay ⋮ Numerical method of highly nonlinear and nonautonomous neutral stochastic differential delay equations with Markovian switching ⋮ Stability analysis of the \(\theta\)-method for hybrid neutral stochastic functional differential equations with jumps ⋮ \(p\)th moment \((p \in (0, 1))\) and almost sure exponential stability of the exact solutions and modified truncated EM method for stochastic differential equations ⋮ Stationary distribution of the Milstein scheme for stochastic differential delay equations with first-order convergence ⋮ Tamed EM schemes for neutral stochastic differential delay equations with superlinear diffusion coefficients ⋮ Strong convergence rates of modified truncated EM methods for neutral stochastic differential delay equations
Cites Work
- Almost sure exponential stability of the \(\theta\)-method for stochastic differential equations
- The truncated Euler-Maruyama method for stochastic differential equations
- Mean-square stability of semi-implicit Euler method for nonlinear neutral stochastic delay differential equations
- Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
- Almost sure exponential stability of numerical solutions for stochastic delay differential equations
- Strong convergence rates of modified truncated EM method for stochastic differential equations
- Choice of \({\theta}\) and mean-square exponential stability in the stochastic theta method of stochastic differential equations
- Almost sure exponential stability of solutions to highly nonlinear neutral stochastic differential equations with time-dependent delay and the Euler-Maruyama approximation
- Exponential stability of the exact solutions and \(\theta\)-EM approximations to neutral SDDEs with Markov switching
- The improved stability analysis of the backward Euler method for neutral stochastic delay differential equations
- Mean-square stability of the backward Euler-Maruyama method for neutral stochastic delay differential equations with jumps
- Neutral Stochastic Differential Delay Equations with Markovian Switching
- Choice of θ and its effects on stability in the stochastic θ-method of stochastic delay differential equations
- Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations
- Stochastic Differential Equations with Markovian Switching
