Strong convergence of the split-step theta method for neutral stochastic delay differential equations
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numerical resultstrong convergencesplit-step theta methodneutral stochastic delay differential equationhighly nonlinear condition
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Neutral functional-differential equations (34K40) Stochastic functional-differential equations (34K50) 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
- scientific article; zbMATH DE number 3717204 (Why is no real title available?)
- scientific article; zbMATH DE number 1099342 (Why is no real title available?)
- Approximations of solutions to neutral functional differential equations with nonlocal history conditions
- Computational methods for quantitative finance. Finite element methods for derivative pricing
- Convergence and almost sure exponential stability of implicit numerical methods for a class of highly nonlinear neutral stochastic differential equations with constant delay
- Convergence and stability of the split-step \(\theta \)-method for stochastic differential equations
- Convergence of numerical solutions to neutral stochastic delay differential equations with Markovian switching
- Convergence rate of EM scheme for SDDEs
- Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations
- Exponential mean square stability of numerical methods for systems of stochastic differential equations
- Fixed points and exponential stability for a stochastic neutral cellular neural network
- Higher-order implicit strong numerical schemes for stochastic differential equations
- 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
- Mean square convergence of one-step methods for neutral stochastic differential delay equations
- Mean square convergence of stochastic \(\theta\)-methods for nonlinear neutral stochastic differential delay equations
- Mean square stability and dissipativity of two classes of theta methods for systems of stochastic delay differential equations
- Mean-square stability of semi-implicit Euler method for nonlinear neutral stochastic delay differential equations
- Neutral Stochastic Differential Delay Equations with Markovian Switching
- New criteria on exponential stability of neutral stochastic differential delay equations
- Numerical Solution of Implicit Neutral Functional Differential Equations
- Numerical Solutions of Neutral Stochastic Functional Differential Equations
- Numerical approximation of nonlinear neutral stochastic functional differential equations
- On existence, uniqueness and numerical approximation for neutral equations with state-dependent delays
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- Retarded differential equations
- Split-step \({\theta}\)-method for stochastic delay differential equations
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- Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
- Strong convergence and stability of backward Euler-Maruyama scheme for highly nonlinear hybrid stochastic differential delay equation
- Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
- Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift
- Strong convergence of the split-step theta method for stochastic delay differential equations with nonglobally Lipschitz continuous coefficients
- The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions
- The improved split-step backward Euler method for stochastic differential delay equations
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Cited in
(17)- Strong convergence of the split-step theta method for stochastic delay differential equations with nonglobally Lipschitz continuous coefficients
- Strong convergence rate for multivalued stochastic differential equations via stochastic theta method
- Strong convergence and stability of the split-step theta method for highly nonlinear neutral stochastic delay integro differential equation
- Numerical solutions of SDEs with Markovian switching and jumps under non-Lipschitz conditions
- Tamed EM schemes for neutral stochastic differential delay equations with superlinear diffusion coefficients
- Efficient stochastic Runge-Kutta methods for stochastic differential equations with small noises
- Almost sure convergence rate of \(\theta\)-EM scheme for neutral SDDEs
- Improving split-step forward methods by ODE solver for stiff stochastic differential equations
- Mean square stability of the split-step theta method for non-linear time-changed stochastic differential equations
- Strong convergence of the split-step \(\theta\) method for neutral stochastic delay differential equations
- Convergence rate of Euler-Maruyama scheme for SDDEs of neutral type
- Numerical solution of stochastic state-dependent delay differential equations: convergence and stability
- Truncated Milstein method for non-autonomous stochastic differential equations and its modification
- Convergence of the split-step \(\theta\)-method for stochastic age-dependent population equations with Markovian switching and variable delay
- Mean-square stability and convergence of a split-step theta method for stochastic Volterra integral equations
- Numerical solution to highly nonlinear neutral-type stochastic differential equation
- Projected Euler-Maruyama method for stochastic delay differential equations under a global monotonicity condition
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