Mean square stability and dissipativity of two classes of theta methods for systems of stochastic delay differential equations

DOI10.1016/J.CAM.2013.03.038MaRDI QIDQ2252811zbMATH OpenOpenAlexFDO

Authors Chengming Huang

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

zbMATH Keywords

dissipativityexponential stabilitymean square stabilitystochastic delay differential equationstheta method

Mathematics Subject Classification ID

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

(49)

• Convergence and almost sure exponential stability of compensated split-step theta scheme for stochastic pantograph models with Poisson random measure
• 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
• Mean-square dissipative methods for stochastic age-dependent capital system with fractional Brownian motion and jumps
• Preserving asymptotic mean-square stability of stochastic theta scheme for systems of stochastic delay differential equations
• Strong convergence and stability of the split-step theta method for highly nonlinear neutral stochastic delay integro differential equation
• Convergence of the -Euler-Maruyama method for a class of stochastic Volterra integro-differential equations
• 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
• Split-step \({\theta}\)-method for stochastic delay differential equations
• 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
• Preserving exponential mean square stability and decay rates in two classes of theta approximations of stochastic 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
• Almost sure exponential stability of the backward Euler-Maruyama scheme for stochastic delay differential equations with monotone-type condition
• Mean square stability of two classes of theta methods for numerical computation and simulation of delayed stochastic Hopfield neural networks
• Strong convergence of the split-step theta method for neutral stochastic delay differential equations
• Split-step -method for stochastic pantograph differential equations: convergence and mean-square stability analysis
• 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
• Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients
• Mean Square Stability and Dissipativity of Split-Step Theta Method for Nonlinear Neutral Stochastic Delay Differential Equations with Poisson Jumps
• Mean-square stability of the backward Euler-Maruyama method for neutral stochastic delay differential equations with jumps
• Exponential mean square stability of the theta approximations for neutral stochastic differential delay equations
• A two-parameter Milstein method for stochastic Volterra integral equations
• Delay dependent asymptotic mean square stability analysis of the stochastic exponential Euler method
• Mean-square stability and convergence of a split-step theta method for stochastic Volterra integral equations
• The strong convergence and stability of explicit approximations for nonlinear stochastic delay differential equations
• Two-step Maruyama schemes for nonlinear stochastic differential delay equations
• 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
• Exponential mean-square stability of the -method for neutral stochastic delay differential equations with jumps
• 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
• On mean square stability and dissipativity of split-step theta method for nonlinear neutral stochastic delay differential equations
• Strong convergence of the split-step -method for stochastic age-dependent capital system with Poisson jumps and fractional Brownian motion
• Convergence and stability of split-step θ methods for stochastic variable delay differential equations

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