Implicit numerical methods for neutral stochastic differential equations with unbounded delay and Markovian switching
DOI10.1016/J.AMC.2018.11.037zbMATH Open1429.65020OpenAlexW2902436898MaRDI QIDQ2008552FDOQ2008552
Publication date: 26 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.2018.11.037
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convergence in probabilityMarkovian switchingbackward and forward-backward Euler methodsglobal a.s. asymptotic exponential stabilityneutral stochastic differential equations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) 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
- Stochastic Differential Equations with Markovian Switching
- Stability of stochastic differential equations with Markovian switching
- An approximate method via Taylor series for stochastic functional differential equations
- Stability of a random diffusion with linear drift
- Stability and boundedness of nonlinear hybrid stochastic differential delay equations
- Almost sure exponential stability of solutions to highly nonlinear neutral stochastic differential equations with time-dependent delay and the Euler-Maruyama approximation
- New criteria on exponential stability of neutral stochastic differential delay equations
- Highly nonlinear neutral stochastic differential equations with time-dependent delay and the Euler-Maruyama method
- Asymptotic properties of neutral stochastic differential delay equations
- Stochastic differential delay equations with jumps, under nonlinear growth condition
- An application of Taylor series in the approximation of solutions to stochastic differential equations with time-dependent delay
- Khasminskii-Type Theorems for Stochastic Differential Delay Equations
- Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions
- Almost sure exponential stability of numerical solutions for stochastic delay differential equations
- Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
- Implicit numerical methods for highly nonlinear neutral stochastic differential equations with time-dependent delay
- Exponential stability of neutral stochastic functional differential equations with two-time-scale Markovian switching
- Approximate solutions of stochastic differential delay equations with Markovian switching
- Stability of a class of neutral stochastic differential equations with unbounded delay and Markovian switching and the Euler-Maruyama method
Cited In (4)
- Strong convergence of the tamed Euler method for nonlinear hybrid stochastic differential equations with piecewise continuous arguments
- Models to assess the effects of nonsmooth control and stochastic perturbation on pest control: a pest-natural-enemy ecosystem
- Stability analysis of stochastic delay differential equations with Markovian switching driven by Lévy noise
- Numerical method of highly nonlinear and nonautonomous neutral stochastic differential delay equations with Markovian switching
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