Exponential mean square stability of the theta approximations for neutral stochastic differential delay equations

DOI10.1016/j.cam.2015.03.016zbMath1320.34111OpenAlexW2043015548MaRDI QIDQ2345687

Xiaofeng Zong, Fuke Wu, Cheng-Ming Huang

Publication date: 22 May 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.2015.03.016

zbMATH Keywords

exponential mean square stabilityneutral stochastic differential delay equationssplit-step thetastochastic linear theta

Mathematics Subject Classification ID

Related Items (28)

Almost sure exponential stability of semi-Euler numerical scheme for nonlinear stochastic functional differential equation ⋮ Mean square stability of two classes of theta method for neutral stochastic differential delay equations ⋮ Neutral stochastic functional differential equations with Lévy jumps under the local Lipschitz condition ⋮ Numerical method of highly nonlinear and nonautonomous neutral stochastic differential delay equations with Markovian switching ⋮ Almost sure convergence rate of \(\theta\)-EM scheme for neutral SDDEs ⋮ Stability analysis of the \(\theta\)-method for hybrid neutral stochastic functional differential equations with jumps ⋮ Convergence and stability of stochastic theta method for nonlinear stochastic differential equations with piecewise continuous arguments ⋮ Numerical solution to highly nonlinear neutral-type stochastic differential equation ⋮ Polynomial stability of stochastic heat equations ⋮ Stationary distribution of the Milstein scheme for stochastic differential delay equations with first-order convergence ⋮ Strong convergence and stability of the split-step theta method for highly nonlinear neutral stochastic delay integro differential equation ⋮ On stability of numerical solutions of neutral stochastic delay differential equations with time‐dependent delay ⋮ Exponential mean-square stability of the θ-method for neutral stochastic delay differential equations with jumps ⋮ Mean-square stability of the backward Euler-Maruyama method for neutral stochastic delay differential equations with jumps ⋮ Complete backward Euler numerical scheme for general SFDEs with exponential stability under the polynomial growth condition ⋮ Convergence of the compensated split-step \(\theta\)-method for nonlinear jump-diffusion systems ⋮ Almost sure stability with general decay rate of exact and numerical solutions for stochastic pantograph differential equations ⋮ Numerical solutions of neutral stochastic functional differential equations with Markovian switching ⋮ Exponential stability of the split-step \(\theta \)-method for neutral stochastic delay differential equations with jumps ⋮ Convergence and asymptotical stability of numerical solutions for neutral stochastic delay differential equations driven by \(G\)-Brownian motion ⋮ Mean-square stability of two classes of \(\theta \)-methods for neutral stochastic delay integro-differential equations ⋮ Strong convergence of compensated split-step theta methods for SDEs with jumps under monotone condition ⋮ Stability in distribution of numerical solution of neutral stochastic functional differential equations with infinite delay ⋮ Switching-dominated stability of numerical solutions for hybrid neutral stochastic differential delay equations ⋮ An averaging principle for neutral stochastic functional differential equations driven by Poisson random measure ⋮ Convergence rate of Euler-Maruyama scheme for SDDEs of neutral type ⋮ Strong convergence of a tamed theta scheme for NSDDEs with one-sided Lipschitz drift ⋮ Almost sure exponential stability of the θ-Euler-Maruyama method for neutral stochastic differential equations with time-dependent delay when θ ∈ [0; 1 2]

Uses Software

• RODAS

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