Almost sure exponential stability of the backward Euler-Maruyama scheme for stochastic delay differential equations with monotone-type condition

DOI10.1016/j.cam.2014.12.036zbMath1326.65018OpenAlexW2017708966MaRDI QIDQ2255715

Lin Chen, Fuke Wu

Publication date: 18 February 2015

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.2014.12.036

zbMATH Keywords

exponential stabilityalmost sure stabilitybackward Euler-Maruyama methodstochastic delay differential equationsmonotone-type condition

Mathematics Subject Classification ID

Related Items (6)

Polynomial stability of exact solution and a numerical method for stochastic differential equations with time-dependent delay ⋮ Preserving asymptotic mean-square stability of stochastic theta scheme for systems of stochastic delay differential equations ⋮ Numerical solution of stochastic state-dependent delay differential equations: convergence and stability ⋮ Asymptotic mean-square stability of explicit Runge-Kutta Maruyama methods for stochastic delay differential equations ⋮ Property and numerical simulation of the Ait-Sahalia-Rho model with nonlinear growth conditions ⋮ Stability analysis of split-step \(\theta \)-Milstein method for a class of \(n\)-dimensional stochastic differential equations

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