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

DOI10.3934/CPAA.2020092zbMATH Open1462.60073OpenAlexW3000289125MaRDI QIDQ2175704FDOQ2175704

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

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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)

Cites Work

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• Stochastic Equations in Infinite Dimensions
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• Stochastic differential equations and applications.
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• Random differential inequalities
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• Exponential stability in \(p\)-th mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations
• Numerical Solutions of Neutral Stochastic Functional Differential Equations
• Khasminskii-Type Theorems for Stochastic Differential Delay Equations
• Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions
• On stabilization of partial differential equations by noise
• The truncated Euler-Maruyama method for stochastic differential equations
• Numerical analysis of explicit one-step methods for stochastic delay differential equations
• The truncated Euler-Maruyama method for stochastic differential delay equations
• Discretization of asymptotically stable stationary solutions of delay differential equations with a random stationary delay
• The truncated EM method for stochastic differential equations with Poisson jumps

Cited In (7)

• Equivalence of \(p\)th moment stability between stochastic differential delay equations and their numerical methods
• Tamed EM schemes for neutral stochastic differential delay equations with superlinear diffusion coefficients
• Numerical approximations of stochastic delay differential equations with delayed impulses
• The Truncated Em Method for Jump-Diffusion Sddes with Super-Linearly Growing Diffusion and Jump Coefficients
• The truncated Euler-Maruyama method for stochastic differential equations
• Multi-Step Maruyama Methods for Stochastic Delay Differential Equations
• The truncated \(\theta \)-Milstein method for nonautonomous and highly nonlinear stochastic differential delay equations

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