Exponential stability of the split-step -method for neutral stochastic delay differential equations with jumps

DOI10.1016/J.AMC.2017.06.034zbMATH Open1426.65009OpenAlexW2740332009WikidataQ115598219 ScholiaQ115598219MaRDI QIDQ1740134FDOQ1740134

Chaolong Zhang, Haoyi Mo, Feiqi Deng

Publication date: 29 April 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2017.06.034

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zbMATH Keywords

almost sure exponential stabilityexponential mean-square stabilityneutral stochastic delay differential equations with jumpsstochastic split-step \(\theta \)-method

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• Existence, uniqueness and stability of the solutions to neutral stochastic functional differential equations with infinite delay
• New results on delay-dependent stability analysis for neutral stochastic delay systems
• Exponential mean square stability of numerical methods for systems of stochastic differential equations
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Asymptotic properties of neutral stochastic differential delay equations
• Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations
• Almost sure exponential stability of numerical solutions for stochastic delay differential equations
• Convergence and stability of the split-step backward Euler method for linear stochastic delay integro-differential equations
• The semi-implicit Euler method for stochastic differential delay equation with jumps
• Convergence of numerical solutions to neutral stochastic delay differential equations with Markovian switching
• Mean square stability and dissipativity of two classes of theta methods for systems of stochastic delay differential equations
• Exponential mean square stability of the theta approximations for neutral stochastic differential delay equations
• Mean square stability of two classes of theta method for neutral stochastic differential delay equations
• The improved split-step backward Euler method for stochastic differential delay equations
• Preserving exponential mean square stability and decay rates in two classes of theta approximations of stochastic differential equations
• Convergence and stability of the split-step \(\theta \)-method for stochastic differential equations
• Mean-square stability of semi-implicit Euler method for nonlinear neutral stochastic delay differential equations
• Title not available (Why is that?)
• MS-stability of the Euler--Maruyama method for stochastic differential delay equations
• The stability of neutral stochastic delay differential equations with Poisson jumps by fixed points
• Mean-square stability of the Euler–Maruyama method for stochastic differential delay equations with jumps
• Existence and uniqueness of solutions to neutral stochastic functional differential equations with Poisson jumps
• Strong convergence of split-step theta methods for non-autonomous stochastic differential equations
• Convergence and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments
• Title not available (Why is that?)
• Almost sure exponential stability of numerical solutions for stochastic delay differential equations with jumps
• On mean square stability and dissipativity of split-step theta method for nonlinear neutral stochastic delay differential equations
• Split-step \({\theta}\)-method for stochastic delay differential equations
• Almost sure and mean square exponential stability of numerical solutions for neutral stochastic functional differential equations
• Compensated stochastic theta methods for stochastic differential delay equations with jumps
• Mean-square convergence of drift-implicit one-step methods for neutral stochastic delay differential equations with jump diffusion
• Dynamic systems with Poisson white noise
• On mean-square stability of two-step Maruyama methods for nonlinear neutral stochastic delay differential equations
• Numerical solutions to neutral stochastic delay differential equations with Poisson jumps under local Lipschitz condition

Cited In (11)

• Exponential stability of stochastic differential equations with impulse effects at random times
• Tamed EM schemes for neutral stochastic differential delay equations with superlinear diffusion coefficients
• Exponential stability analysis in mean square for a class of stochastic delay differential equations
• Stabilization of stochastic regime-switching Poisson jump equations by delay feedback control
• Almost sure exponential stability of the θ-Euler-Maruyama method for neutral stochastic differential equations with time-dependent delay when θ ∈ [0; 1 2]
• Improving split-step forward methods by ODE solver for stiff stochastic differential equations
• A stabilization analysis for highly nonlinear neutral stochastic delay hybrid systems with superlinearly growing jump coefficients by variable-delay feedback control
• On stability of solutions of stochastic delay differential equations
• Mean Square Stability and Dissipativity of Split-Step Theta Method for Nonlinear Neutral Stochastic Delay Differential Equations with Poisson Jumps
• Convergence of the split-step \(\theta\)-method for stochastic age-dependent population equations with Markovian switching and variable delay
• Title not available (Why is that?)

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