Strong convergence of the partially truncated Euler-Maruyama method for a class of stochastic differential delay equations

DOI10.1016/J.CAM.2017.11.030zbMATH Open1444.34099OpenAlexW2772424812MaRDI QIDQ1743923FDOQ1743923

Authors: Xianqiang Yang 

Publication date: 16 April 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.2017.11.030

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zbMATH Keywords

strong convergencelocal Lipschitz conditionstochastic differential delay equationsKhasminskii-type conditionpartially truncated Euler-Maruyama method

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• Title not available (Why is that?)
• Stochastic Differential Equations with Markovian Switching
• Almost sure exponential stability of neutral stochastic differential difference equations
• Numerical Solutions of Neutral Stochastic Functional Differential Equations
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Khasminskii-Type Theorems for Stochastic Differential Delay Equations
• Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions
• Generalised theory on asymptotic stability and boundedness of stochastic functional differential equations
• Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Mean square stability and dissipativity of two classes of theta methods for systems of stochastic delay differential equations
• Random differential equations in science and engineering
• The truncated Euler-Maruyama method for stochastic differential equations
• Khasminskii-type theorems for stochastic functional differential equations
• Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
• The partially truncated Euler-Maruyama method and its stability and boundedness
• Approximate solutions for a class of stochastic evolution equations with variable delays

Cited In (29)

• The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions
• The truncated Euler-Maruyama method for stochastic differential equations with piecewise continuous arguments driven by Lévy noise
• Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations
• Advances in the truncated Euler-Maruyama method for stochastic differential delay equations
• Theoretical and numerical analysis of a class of stochastic Volterra integro-differential equations with non-globally Lipschitz continuous coefficients
• Existence and asymptotic behavior of square-mean S-asymptotically periodic solutions for stochastic evolution equation involving delay
• Stability of the analytic solution and the partially truncated Euler–Maruyama method for a class of stochastic Volterra integro-differential equations with non-globally Lipschitz continuous coefficients
• Strong convergence of the truncated Euler–Maruyama method for stochastic functional differential equations
• Convergence rate of the truncated Milstein method of stochastic differential delay equations
• Strong convergence of Euler approximations of stochastic differential equations with delay under local Lipschitz condition
• The Convergence of Truncated Euler-Maruyama Method for Stochastic Differential Equations with Piecewise Continuous Arguments Under Generalized One-Sided Lipschitz Condition
• Strong convergence of the truncated Milstein numerical solution of neutral stochastic delay differential equations
• Strong convergence of explicit numerical schemes for stochastic differential equations with piecewise continuous arguments
• Symmetry determination and nonlinearization of a nonlinear time-fractional partial differential equation
• Convergence rate of Euler-Maruyama scheme for SDDEs of neutral type
• The truncated EM method for stochastic differential equations with Poisson jumps
• The truncated \(\theta \)-Milstein method for nonautonomous and highly nonlinear stochastic differential delay equations
• Truncated Milstein method for non-autonomous stochastic differential equations and its modification
• Convergence of the balanced Euler method for a class of stochastic Volterra integro-differential equations with non-globally Lipschitz continuous coefficients
• The strong convergence and stability of explicit approximations for nonlinear stochastic delay differential equations
• A Fokker-Planck equation with a fractional derivative along the trajectory of motion with conservation law
• Numerical method of highly nonlinear and nonautonomous neutral stochastic differential delay equations with Markovian switching
• The Partially Truncated Euler–Maruyama Method for Highly Nonlinear Stochastic Delay Differential Equations with Markovian Switching
• Projected Euler-Maruyama method for stochastic delay differential equations under a global monotonicity condition
• Approximate solutions to fractional boundary value problems by wavelet decomposition methods
• The truncated Euler-Maruyama method for highly nonlinear stochastic differential equations with multiple time delays
• Convergence rates of full-implicit truncated Euler-Maruyama method for stochastic differential equations
• Convergence and stability of the balanced Euler method for stochastic pantograph differential equations with Markovian switching
• Strong convergence rates of modified truncated EM methods for neutral stochastic differential delay equations

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