Strong convergence of the split-step theta method for neutral stochastic delay differential equations

DOI10.1016/J.APNUM.2017.05.008zbMATH Open1370.65004OpenAlexW2619774145MaRDI QIDQ2012631FDOQ2012631

Authors: Zhiping Yan, Aiguo Xiao, Xiao Tang 

Publication date: 1 August 2017

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2017.05.008

Recommendations

• Strong convergence of the split-step \(\theta\) method for neutral stochastic delay differential equations
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• Split-step \(\theta \)-method for neutral stochastic delay differential equations
• Mean square convergence of stochastic \(\theta\)-methods for nonlinear neutral stochastic differential delay equations

zbMATH Keywords

numerical resultstrong convergencesplit-step theta methodneutral stochastic delay differential equationhighly nonlinear condition

Mathematics Subject Classification ID

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)

Cites Work

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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
• Mean square stability of the split-step theta method for non-linear time-changed stochastic differential equations
• Almost sure convergence rate of \(\theta\)-EM scheme for neutral SDDEs
• Improving split-step forward methods by ODE solver for stiff 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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