Strong convergence of implicit numerical methods for nonlinear stochastic functional differential equations
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Publication:2360720
DOI10.1016/J.CAM.2017.04.015zbMATH Open1365.65020OpenAlexW2606415191MaRDI QIDQ2360720FDOQ2360720
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
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- Numerical approximation of nonlinear neutral stochastic functional differential equations
boundednessstrong convergencebackward Euler-Maruyama methodpolynomial growth conditionstochastic functional differential equation
Cites Work
- Positive solution and its asymptotic behaviour of stochastic functional Kolmogorov-type system
- Stochastic Kolmogorov-type population dynamics with infinite distributed delays
- Robustness of exponential stability of a class of stochastic functional differential equations with infinite delay
- Almost sure exponential stability of solutions to highly nonlinear neutral stochastic differential equations with time-dependent delay and the Euler-Maruyama approximation
- Numerical approximation of nonlinear neutral stochastic functional differential equations
- Almost sure exponential stability of the backward Euler-Maruyama discretization for highly nonlinear stochastic functional differential equation
- Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
- Numerical Solutions of Neutral Stochastic Functional Differential Equations
- Ultimate boundedness of stochastic functional Kolmogorov-type systems
- Highly nonlinear neutral stochastic differential equations with time-dependent delay and the Euler-Maruyama method
- Numerical Solutions of Stochastic Functional Differential Equations
- Almost sure exponential stability of backward Euler-Maruyama discretizations for hybrid stochastic differential equations
- Stability of nonlinear neutral stochastic functional differential equations
- Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions
- Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
- Stochastic Kolmogorov-type system with infinite delay
- Robustness of general decay stability of nonlinear neutral stochastic functional differential equations with infinite delay
- 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
- Strong convergence and stability of backward Euler-Maruyama scheme for highly nonlinear hybrid stochastic differential delay equation
- Numerical approximation for nonlinear stochastic pantograph equations with Markovian switching
- Exponential stability of numerical solution to neutral stochastic functional differential equation
- Almost surely exponential stability of numerical solutions for stochastic pantograph equations
- Numerical approximation of stochastic differential delay equation with coefficients of polynomial growth
Cited In (12)
- Numerical Solutions of Stochastic Functional Differential Equations
- On strong convergence of explicit numerical methods for stochastic delay differential equations under non-global Lipschitz conditions
- Convergence and stability of modified partially truncated Euler-Maruyama method for nonlinear stochastic differential equations with Hölder continuous diffusion coefficient
- Exponential stability analysis in mean square for a class of stochastic delay differential equations
- Strong convergence rates for an explicit numerical approximation method for stochastic evolution equations with non-globally Lipschitz continuous nonlinearities
- General Full Implicit Strong Taylor Approximations for Stiff Stochastic Differential Equations
- An explicit approximation for super-linear stochastic functional differential equations
- Numerical solution to highly nonlinear neutral-type stochastic differential equation
- Linear-implicit strong schemes for Itô-Galerkin approximations of stochastic PDEs
- Implicit numerical solutions to neutral-type stochastic systems with superlinearly growing coefficients
- A positivity preserving numerical method for stochastic R\&D model
- Strong convergence rates for backward Euler-Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
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