Strong convergence of implicit numerical methods for nonlinear stochastic functional differential equations

DOI10.1016/J.CAM.2017.04.015MaRDI QIDQ2360720zbMATH OpenOpenAlexFDO

Authors Shaobo Zhou, Hai Jin

Publication date 4 July 2017

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.2017.04.015

zbMATH Keywords

boundednessstrong convergencebackward Euler-Maruyama methodpolynomial growth conditionstochastic functional differential equation

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

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• Strong convergence rates for backward Euler-Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
• Numerical approximation of nonlinear neutral stochastic functional differential equations

Cites work

• Almost sure exponential stability of backward Euler-Maruyama discretizations for hybrid stochastic differential equations
• Almost sure exponential stability of solutions to highly nonlinear neutral stochastic differential equations with time-dependent delay and the Euler-Maruyama approximation
• Almost sure exponential stability of the backward Euler-Maruyama discretization for highly nonlinear stochastic functional differential equation
• Almost surely exponential stability of numerical solutions for stochastic pantograph equations
• Exponential stability of numerical solution to neutral stochastic functional differential equation
• Highly nonlinear neutral stochastic differential equations with time-dependent delay and the Euler-Maruyama method
• Numerical Solutions of Neutral Stochastic Functional Differential Equations
• Numerical Solutions of Stochastic Functional Differential Equations
• Numerical approximation for nonlinear stochastic pantograph equations with Markovian switching
• Numerical approximation of nonlinear neutral stochastic functional differential equations
• Numerical approximation of stochastic differential delay equation with coefficients of polynomial growth
• Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
• Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions
• Positive solution and its asymptotic behaviour of stochastic functional Kolmogorov-type system
• Robustness of exponential stability of a class of stochastic functional differential equations with infinite delay
• Robustness of general decay stability of nonlinear neutral stochastic functional differential equations with infinite delay
• Stability of nonlinear neutral stochastic functional differential equations
• Stochastic Kolmogorov-type population dynamics with infinite distributed delays
• Stochastic Kolmogorov-type system with infinite delay
• Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Strong convergence and stability of backward Euler-Maruyama scheme for highly nonlinear hybrid stochastic differential delay equation
• Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Strong convergence rates for backward Euler-Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
• Ultimate boundedness of stochastic functional Kolmogorov-type systems

Cited in

(12)

• Strong convergence rates for backward Euler-Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
• A positivity preserving numerical method for stochastic R\&D model
• Exponential stability analysis in mean square for a class of stochastic delay differential equations
• Numerical Solutions of Stochastic Functional Differential Equations
• Numerical solution to highly nonlinear neutral-type stochastic differential equation
• On strong convergence of explicit numerical methods for stochastic delay differential equations under non-global Lipschitz conditions
• Linear-implicit strong schemes for Itô-Galerkin approximations of stochastic PDEs
• Strong convergence rates for an explicit numerical approximation method for stochastic evolution equations with non-globally Lipschitz continuous nonlinearities
• Implicit numerical solutions to neutral-type stochastic systems with superlinearly growing coefficients
• General Full Implicit Strong Taylor Approximations for Stiff Stochastic Differential Equations
• Convergence and stability of modified partially truncated Euler-Maruyama method for nonlinear stochastic differential equations with Hölder continuous diffusion coefficient
• An explicit approximation for super-linear stochastic functional differential equations

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