Advances in the truncated Euler-Maruyama method for stochastic differential delay equations

DOI10.3934/CPAA.2020092MaRDI QIDQ2175704zbMATH OpenOpenAlexFDO

Authors Weiyin Fei, Liangjian Hu, Xuerong Mao, Dengfeng Xia

Publication date 29 April 2020

Published in Communications on Pure and Applied Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/cpaa.2020092

zbMATH Keywords

Brownian motionstochastic differential delay equationKhasminskii-type conditiontruncated Euler-MaruyamaItô's formula

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Recommendations

• The truncated Euler-Maruyama method for stochastic differential delay equations
• Convergence rate of the truncated Milstein method of stochastic differential delay equations
• Strong convergence of the truncated Euler-Maruyama method for neutral stochastic differential delay equation
• Strong convergence of the partially truncated Euler-Maruyama method for a class of stochastic differential delay equations
• Strong convergence rate of truncated Euler-Maruyama method for stochastic differential delay equations with Poisson jumps

Cites work

• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• scientific article; zbMATH DE number 1252483 (Why is no real title available?)
• A note on the LaSalle-type theorems for stochastic differential delay equations
• Discretization of asymptotically stable stationary solutions of delay differential equations with a random stationary delay
• 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
• Numerical Solutions of Neutral Stochastic Functional Differential Equations
• Numerical analysis of explicit one-step methods for stochastic delay differential equations
• Numerical solutions of stochastic differential delay equations under local Lipschitz condition
• Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions
• On stabilization of partial differential equations by noise
• Random differential inequalities
• Stochastic Equations in Infinite Dimensions
• Stochastic differential equations and applications.
• The truncated EM method for stochastic differential equations with Poisson jumps
• The truncated Euler-Maruyama method for stochastic differential delay equations
• The truncated Euler-Maruyama method for stochastic differential equations

Cited in

(14)

• Equivalence of pth moment stability between stochastic differential delay equations and their numerical methods
• Convergence rates of truncated theta-EM scheme for SDDEs
• Tamed EM schemes for neutral stochastic differential delay equations with superlinear diffusion coefficients
• Strong convergence of the partially truncated Euler-Maruyama method for a class of stochastic differential delay equations
• Convergence rate of the truncated Milstein method of stochastic differential delay equations
• Numerical approximations of stochastic delay differential equations with delayed impulses
• The truncated Euler-Maruyama method for stochastic differential equations
• The Truncated Em Method for Jump-Diffusion Sddes with Super-Linearly Growing Diffusion and Jump Coefficients
• Strong convergence rate of truncated Euler-Maruyama method for stochastic differential delay equations with Poisson jumps
• The truncated \(\theta \)-Milstein method for nonautonomous and highly nonlinear stochastic differential delay equations
• Multi-Step Maruyama Methods for Stochastic Delay Differential Equations
• Projected Euler-Maruyama method for stochastic delay differential equations under a global monotonicity condition
• Strong convergence of the truncated Euler-Maruyama method for neutral stochastic differential delay equation
• The truncated Euler-Maruyama method for stochastic differential delay equations

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