Strong convergence of implicit numerical methods for nonlinear stochastic functional differential equations
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Publication:2360720
DOI10.1016/j.cam.2017.04.015zbMath1365.65020OpenAlexW2606415191MaRDI QIDQ2360720
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
strong convergenceboundednesspolynomial growth conditionbackward Euler-Maruyama methodstochastic functional differential equation
Related Items (5)
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 ⋮ An explicit approximation for super-linear stochastic functional differential equations ⋮ A positivity preserving numerical method for stochastic R\&D model ⋮ Convergence and stability of modified partially truncated Euler-Maruyama method for nonlinear stochastic differential equations with Hölder continuous diffusion coefficient
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