The partially truncated Euler-Maruyama method for nonlinear pantograph stochastic differential equations

DOI10.1016/J.AMC.2018.10.052zbMATH Open1428.60087OpenAlexW2898731696WikidataQ129016672 ScholiaQ129016672MaRDI QIDQ2008402FDOQ2008402

Authors Weijun Zhan, Yan Gao, Qian Guo, Xiaofeng Yao

Publication date 25 November 2019

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

Full work available at URL https://doi.org/10.1016/j.amc.2018.10.052

zbMATH Keywords

polynomial stabilitypartially truncated Euler-Maruyama methodkhasminskii-type conditionpantograph stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• A note on the partially truncated Euler-Maruyama method
• Almost sure exponential stability of numerical solutions for stochastic delay differential equations
• Almost sure exponential stability of numerical solutions for stochastic pantograph differential equations
• Analysis on exponential stability of hybrid pantograph stochastic differential equations with highly nonlinear coefficients
• Continuous \(\Theta\)-methods for the stochastic pantograph equation
• Convergence and stability of a numerical method for nonlinear stochastic pantograph equations
• Convergence and stability of split-step theta methods with variable step-size for stochastic pantograph differential equations
• Convergence rate and stability of the truncated Euler-Maruyama method for stochastic differential equations
• Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
• Existence and uniqueness of the solutions and convergence of semi-implicit Euler methods for stochastic pantograph equations
• Existence, uniqueness, almost sure polynomial stability of solution to a class of highly nonlinear pantograph stochastic differential equations and the Euler-Maruyama approximation
• Numerical approximation for nonlinear stochastic pantograph equations with Markovian switching
• Stability and boundedness of nonlinear hybrid stochastic differential delay equations
• Stability of regime-switching stochastic differential equations
• Stability of the Discretized Pantograph Differential Equation
• Strong predictor-corrector methods for stochastic pantograph equations
• Sufficient conditions for polynomial asymptotic behaviour of the stochastic pantograph equation
• The \(\alpha \)th moment stability for the stochastic pantograph equation
• The partially truncated Euler-Maruyama method and its stability and boundedness
• The truncated Euler-Maruyama method for stochastic differential equations

Cited in

(10)

• The truncated Euler-Maruyama method for stochastic differential equations
• Existence, uniqueness, almost sure polynomial stability of solution to a class of highly nonlinear pantograph stochastic differential equations and the Euler-Maruyama approximation
• EULER-MARUYAMA METHOD FOR SOME NONLINEAR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS WITH JUMP-DIFFUSION
• 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
• Stability of numerical solution to pantograph stochastic functional differential equations
• Asymptotic stability of neutral stochastic pantograph systems with Markovian switching
• Numerical approximation for nonlinear stochastic pantograph equations with Markovian switching
• Numerical analysis for stochastic partial pantograph equations
• The partially truncated Euler-Maruyama method and its stability and boundedness
• Mean-square stability of Milstein methods for stochastic pantograph equations

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