Mean square stability and dissipativity of two classes of theta methods for systems of stochastic delay differential equations
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Publication:2252811
DOI10.1016/J.CAM.2013.03.038zbMATH Open1291.65020OpenAlexW2039261336MaRDI QIDQ2252811FDOQ2252811
Publication date: 23 July 2014
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.2013.03.038
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dissipativityexponential stabilitymean square stabilitystochastic delay differential equationstheta method
Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)
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Cited In (43)
- Delay dependent stability of stochastic split-step \(\theta\) methods for stochastic delay differential equations
- Strong convergence of the split-step theta method for stochastic delay differential equations with nonglobally Lipschitz continuous coefficients
- The semimartingale approach to almost sure stability analysis of a two-stage numerical method for stochastic delay differential equation
- Preserving asymptotic mean-square stability of stochastic theta scheme for systems of stochastic delay differential equations
- Mean-square dissipative methods for stochastic age-dependent capital system with fractional Brownian motion and jumps
- Strong convergence and stability of the split-step theta method for highly nonlinear neutral stochastic delay integro differential equation
- Convergence and stability of the compensated split-step theta method for stochastic differential equations with piecewise continuous arguments driven by Poisson random measure
- Complete backward Euler numerical scheme for general SFDEs with exponential stability under the polynomial growth condition
- Convergence rate and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments
- Exponential stability of the split-step \(\theta \)-method for neutral stochastic delay differential equations with jumps
- Strong convergence of the split-step backward Euler method for stochastic delay differential equations with a nonlinear diffusion coefficient
- Mean-square stability of two classes of \(\theta \)-methods for neutral stochastic delay integro-differential equations
- Mean square stability of two classes of theta method for neutral stochastic differential delay equations
- Almost sure exponential stability of an explicit stochastic orthogonal Runge-Kutta-Chebyshev method for stochastic delay differential equations
- Strong convergence of the partially truncated Euler-Maruyama method for a class of stochastic differential delay equations
- Mean square stability and almost sure exponential stability of two step Maruyama methods of stochastic delay Hopfield neural networks
- Stability analysis of split-step \(\theta \)-Milstein method for a class of \(n\)-dimensional stochastic differential equations
- Numerical analysis of the balanced implicit method for stochastic age-dependent capital system with Poisson jumps
- A class of stochastic one-parameter methods for nonlinear SFDEs with piecewise continuous arguments
- Stability of stochastic SIRS epidemic models with saturated incidence rates and delay
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- Mean square stability of two classes of theta methods for numerical computation and simulation of delayed stochastic Hopfield neural networks
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- Asymptotic mean-square stability of explicit Runge-Kutta Maruyama methods for stochastic delay differential equations
- Almost sure stability with general decay rate of exact and numerical solutions for stochastic pantograph differential equations
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- Convergence and stability of split-step theta methods with variable step-size for stochastic pantograph differential equations
- Projected Euler-Maruyama method for stochastic delay differential equations under a global monotonicity condition
- Convergence and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments
- Double-implicit and split two-step Milstein schemes for stochastic differential equations
- Almost sure exponential stability of semi-Euler numerical scheme for nonlinear stochastic functional differential equation
- Mean square stability of stochastic theta method for stochastic differential equations driven by fractional Brownian motion
- Convergence and stability of split-step θ methods for stochastic variable delay differential equations
- Strong convergence of the split-step \(\theta\)-method for stochastic age-dependent capital system with Poisson jumps and fractional Brownian motion
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