The truncated Euler-Maruyama method for stochastic differential delay equations

DOI10.1007/s11075-017-0391-0zbMath1414.60043arXiv1703.09565OpenAlexW2744547567WikidataQ59524406 ScholiaQ59524406MaRDI QIDQ1646675

Rong-Xian Yue, Qian Guo, Xuerong Mao

Publication date: 25 June 2018

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1703.09565

zbMATH Keywords

Brownian motionItô's formulastochastic differential delay equationKhasminskii-type conditiontruncated Euler-Maruyama

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65)

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Cites Work

• The truncated Euler-Maruyama method for stochastic differential equations
• Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions
• Discretization of asymptotically stable stationary solutions of delay differential equations with a random stationary delay
• Random differential inequalities
• A note on the LaSalle-type theorems for stochastic differential delay equations
• Numerical solutions of stochastic differential delay equations under local Lipschitz condition
• Stability of regime-switching stochastic differential equations
• 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
• Numerical Solutions of Neutral Stochastic Functional Differential Equations
• Khasminskii-Type Theorems for Stochastic Differential Delay Equations
• Stochastic Equations in Infinite Dimensions
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