Implicit numerical methods for neutral stochastic differential equations with unbounded delay and Markovian switching

DOI10.1016/J.AMC.2018.11.037MaRDI QIDQ2008552zbMATHOpenAlexFDO

Authors Maja Obradović

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

zbMATH Keywords

convergence in probabilityMarkovian switchingbackward and forward-backward Euler methodsglobal a.s. asymptotic exponential stabilityneutral stochastic differential equations

Mathematics Subject Classification ID

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)

Recommendations

• Stability of a class of neutral stochastic differential equations with unbounded delay and Markovian switching and the Euler-Maruyama method
• Implicit numerical methods for highly nonlinear neutral stochastic differential equations with time-dependent delay
• Convergence and almost sure exponential stability of implicit numerical methods for a class of highly nonlinear neutral stochastic differential equations with constant delay
• Numerical method of highly nonlinear and nonautonomous neutral stochastic differential delay equations with Markovian switching
• Convergence of the semi-implicit Euler method for neutral stochastic delay differential equations with phase semi-Markovian switching

Cites work

• Almost sure exponential stability of numerical solutions for stochastic delay differential equations
• Almost sure exponential stability of solutions to highly nonlinear neutral stochastic differential equations with time-dependent delay and the Euler-Maruyama approximation
• An application of Taylor series in the approximation of solutions to stochastic differential equations with time-dependent delay
• An approximate method via Taylor series for stochastic functional differential equations
• Approximate solutions of stochastic differential delay equations with Markovian switching
• Asymptotic properties of neutral stochastic differential delay equations
• Exponential stability of neutral stochastic functional differential equations with two-time-scale Markovian switching
• Highly nonlinear neutral stochastic differential equations with time-dependent delay and the Euler-Maruyama method
• Implicit numerical methods for highly nonlinear neutral stochastic differential equations with time-dependent delay
• Khasminskii-Type Theorems for Stochastic Differential Delay Equations
• New criteria on exponential stability of neutral stochastic differential delay equations
• Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions
• Stability and boundedness of nonlinear hybrid stochastic differential delay equations
• Stability of a class of neutral stochastic differential equations with unbounded delay and Markovian switching and the Euler-Maruyama method
• Stability of a random diffusion with linear drift
• Stability of stochastic differential equations with Markovian switching
• Stochastic Differential Equations with Markovian Switching
• Stochastic differential delay equations with jumps, under nonlinear growth condition
• Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients

Cited in

(9)

• Strong convergence of the tamed Euler method for nonlinear hybrid stochastic differential equations with piecewise continuous arguments
• Convergence of the semi-implicit Euler method for neutral stochastic delay differential equations with phase semi-Markovian switching
• Implicit numerical methods for highly nonlinear neutral stochastic differential equations with time-dependent delay
• Numerical method of highly nonlinear and nonautonomous neutral stochastic differential delay equations with Markovian switching
• Strong convergence and stability of backward Euler-Maruyama scheme for highly nonlinear hybrid stochastic differential delay equation
• Stability analysis of stochastic delay differential equations with Markovian switching driven by Lévy noise
• Models to assess the effects of nonsmooth control and stochastic perturbation on pest control: a pest-natural-enemy ecosystem
• Stability of a class of neutral stochastic differential equations with unbounded delay and Markovian switching and the Euler-Maruyama method
• Convergence and almost sure exponential stability of implicit numerical methods for a class of highly nonlinear neutral stochastic differential equations with constant delay

This page was built for publication: Implicit numerical methods for neutral stochastic differential equations with unbounded delay and Markovian switching

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2008552)