Split-step \({\theta}\)-method for stochastic delay differential equations

DOI10.1016/j.apnum.2013.10.003zbMath1288.65006OpenAlexW2013859220MaRDI QIDQ2448647

Zhongqiang Zhang, Peng Hao, Wan-Rong Cao

Publication date: 5 May 2014

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2013.10.003

zbMATH Keywords

convergencenumerical examplesstochastic differential equationsnonlinear modelsfixed time delayexponential mean-square stabilitysplit-step \(\theta\)-method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (16)

Convergence of the split-step \(\theta\)-method for stochastic age-dependent population equations with Markovian switching and variable delay ⋮ MEAN SQUARE CONVERGENCE AND STABILITY OF BALANCED METHODS FOR STOCHASTIC VARIABLE DELAY DIFFERENTIAL EQUATIONS ⋮ Convergence and stability of split-step θ methods for stochastic variable delay differential equations ⋮ Delay dependent asymptotic mean square stability analysis of the stochastic exponential Euler method ⋮ On strong convergence of explicit numerical methods for stochastic delay differential equations under non-global Lipschitz conditions ⋮ 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 ⋮ Strong convergence of the split-step \(\theta\)-method for stochastic age-dependent capital system with Poisson jumps and fractional Brownian motion ⋮ Exponential stability of the split-step \(\theta \)-method for neutral stochastic delay differential equations with jumps ⋮ Efficient Stochastic Runge-Kutta Methods for Stochastic Differential Equations with Small Noises ⋮ Stability in mean for uncertain delay differential equations based on new Lipschitz conditions ⋮ Delay dependent stability of stochastic split-step \(\theta\) methods for stochastic delay differential equations ⋮ Split-step theta method for stochastic delay integro-differential equations with mean square exponential stability ⋮ Strong convergence of the split-step theta method for neutral stochastic delay differential equations ⋮ Projected Euler-Maruyama method for stochastic delay differential equations under a global monotonicity condition ⋮ Convergence and stability of split-step theta methods with variable step-size for stochastic pantograph differential equations

Cites Work

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