Almost sure and \(L^p\) convergence of split-step backward Euler method for stochastic delay differential equation
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Publication:1724003
DOI10.1155/2014/390418zbMath1469.65029OpenAlexW1992997700WikidataQ59037147 ScholiaQ59037147MaRDI QIDQ1724003
Publication date: 14 February 2019
Published in: Abstract and Applied Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2014/390418
Stochastic functional-differential equations (34K50) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for functional-differential equations (65L03)
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The semimartingale approach to almost sure stability analysis of a two-stage numerical method for stochastic delay differential equation ⋮ Stability in mean for uncertain delay differential equations based on new Lipschitz conditions
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- Discrete-time approximations of stochastic delay equations: the Milstein scheme.
- A note on Euler approximations for stochastic differential equations with delay
- Numerical Analysis of Explicit One-Step Methods for Stochastic Delay Differential Equations
- The improved split-step backward Euler method for stochastic differential delay equations
- Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
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