The strong convergence and stability of explicit approximations for nonlinear stochastic delay differential equations

DOI10.1007/s11075-021-01137-2zbMath1481.65023arXiv2008.08249OpenAlexW3174281723WikidataQ114224298 ScholiaQ114224298MaRDI QIDQ2066233

Xiaoyue Li, Guoting Song, Shuaibin Gao, Junhao Hu

Publication date: 13 January 2022

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2008.08249

zbMATH Keywords

strong convergencestability analysisstochastic delay differential equationsmoment boundexplicit truncated Euler-Maruyama scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (4)

The truncated \(\theta \)-Milstein method for nonautonomous and highly nonlinear stochastic differential delay equations ⋮ Hybrid stochastic functional differential equations with infinite delay: approximations and numerics ⋮ An explicit approximation for super-linear stochastic functional differential equations ⋮ The Truncated Em Method for Jump-Diffusion Sddes with Super-Linearly Growing Diffusion and Jump Coefficients

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