Split-step theta method for stochastic delay integro-differential equations with mean square exponential stability

DOI10.1016/J.AMC.2019.01.073MaRDI QIDQ2010752zbMATH OpenOpenAlexWikidataFDO

Authors Linna Liu, Haoyi Mo, Feiqi Deng

Publication date 27 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.2019.01.073

zbMATH Keywords

convergencedelayintegro-differential equationsstochastic differential equationssplit-step theta methodmean square exponential stability

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Integro-ordinary differential equations (45J05) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20)

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Cites work

• Almost sure exponential stability of numerical solutions for stochastic delay differential equations
• An analysis of stability of Milstein method for stochastic differential equations with delay
• Complete Models with Stochastic Volatility
• Convergence and stability of the semi-implicit Euler method for linear stochastic delay integro-differential equations
• Delay differential equations: with applications in population dynamics
• Exponential stability in \(p\)-th mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations
• Khasminskii-Type Theorems for Stochastic Differential Delay Equations
• MS-stability of the Euler--Maruyama method for stochastic differential delay equations
• Mean-square exponential stability of stochastic theta methods for nonlinear stochastic delay integro-differential equations
• Mean-square stability of Milstein method for linear hybrid stochastic delay integro-differential equations
• Numerical analysis of explicit one-step methods for stochastic delay differential equations
• Split-step \({\theta}\)-method for stochastic delay differential equations
• Stability of epidemic model with time delays influenced by stochastic perturbations
• Stability of the split-step backward Euler scheme for stochastic delay integro-differential equations with Markovian switching
• Stochastic differential equations and applications.
• The European option with hereditary price structures

Cited in

(15)

• \(T\)-stability of the split-step \(\theta\)-methods for linear stochastic delay integro-differential equations
• Mean square convergence and stability of balanced methods for stochastic variable delay differential equations
• Mean-square stability of two classes of \(\theta \)-methods for neutral stochastic delay integro-differential equations
• Delay‐dependent stability of highly nonlinear neutral stochastic functional differential equations
• Mean Square Stability and Dissipativity of Split-Step Theta Method for Nonlinear Neutral Stochastic Delay Differential Equations with Poisson Jumps
• Preserving asymptotic mean-square stability of stochastic theta scheme for systems of stochastic delay differential equations
• Compensated stochastic theta methods for stochastic differential delay equations with jumps
• On stability of neutral-type linear stochastic time-delay systems with three different delays
• Strong convergence and stability of the split-step theta method for highly nonlinear neutral stochastic delay integro differential equation
• Exponential mean-square stability of numerical solutions for stochastic delay integro-differential equations with Poisson jump
• scientific article; zbMATH DE number 7235334 (Why is no real title available?)
• Mean-square exponential stability of an improved split-step backward Euler method for stochastic delay integro-differential equations
• Mean square stability and dissipativity of two classes of theta methods for systems of stochastic delay differential equations
• Split-step \({\theta}\)-method for stochastic delay differential equations
• The improved split-step θ methods for stochastic differential equation

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