Strong convergence of the split-step backward Euler method for stochastic delay differential equations with a nonlinear diffusion coefficient

DOI10.1016/j.cam.2020.113087zbMath1484.65019OpenAlexW3043220966WikidataQ115359729 ScholiaQ115359729MaRDI QIDQ2196055

Chao Yue, Longbin Zhao

Publication date: 28 August 2020

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2020.113087

zbMATH Keywords

strong convergencesplit-step backward Euler methodstochastic delay differential equationsstochastic B-consistencystochastic C-stability

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

Solution of variable‐order partial integro‐differential equation using Legendre wavelet approximation and operational matrices

Cites Work

• Unnamed Item
• Unnamed Item
• Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients
• Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation
• Existence and uniqueness of the solutions and convergence of semi-implicit Euler methods for stochastic pantograph equations
• Stochastic delay differential equations for genetic regulatory networks
• \(\theta\)-Maruyama methods for nonlinear stochastic differential delay equations
• The split-step backward Euler method for linear stochastic delay differential equations
• Strong convergence of the split-step theta method for stochastic delay differential equations with nonglobally Lipschitz continuous coefficients
• Numerical approximation for nonlinear stochastic pantograph equations with Markovian switching
• Numerical solutions of stochastic differential delay equations under local Lipschitz condition
• Discrete-time approximations of stochastic delay equations: the Milstein scheme.
• Strong convergence of compensated split-step theta methods for SDEs with jumps under monotone condition
• Mean square stability and dissipativity of two classes of theta methods for systems of stochastic delay differential equations
• The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions
• Convergence rate of Euler-Maruyama scheme for stochastic pantograph differential equations
• An explicit positivity preserving numerical scheme for CIR/CEV type delay models with jump
• A derivative-free explicit method with order 1.0 for solving stochastic delay differential equations
• Mean-square stability of a stochastic model for bacteriophage infection with time delays
• Stochastic C-stability and B-consistency of explicit and implicit Euler-type schemes
• Numerical Analysis of Explicit One-Step Methods for Stochastic Delay Differential Equations
• An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
• Convergence rate of EM scheme for \normalfont𝑆𝐷𝐷𝐸𝑠
• The improved split-step backward Euler method for stochastic differential delay equations
• Numerical simulation of a Campbell-like stochastic delay model for bacteriophage infection
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Khasminskii-Type Theorems for Stochastic Differential Delay Equations