A derivative-free explicit method with order 1.0 for solving stochastic delay differential equations

DOI10.1016/j.cam.2013.03.049zbMath1288.65010OpenAlexW2025166475MaRDI QIDQ2453180

Cheng-Jian Zhang, Yuanling Niu, Kevin Burrage

Publication date: 6 June 2014

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.2013.03.049

zbMATH Keywords

numerical experimentsmean-square stabilitystochastic delay differential equationsexplicit order 1.0 strong scheme

Mathematics Subject Classification ID

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

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Convergence and stability of the Milstein scheme for stochastic differential equations with piecewise continuous arguments ⋮ Delay dependent asymptotic mean square stability analysis of the stochastic exponential Euler method ⋮ Strong convergence of the split-step backward Euler method for stochastic delay differential equations with a nonlinear diffusion coefficient ⋮ Mean square stability and almost sure exponential stability of two step Maruyama methods of stochastic delay Hopfield neural networks ⋮ The strong convergence and stability of explicit approximations for nonlinear stochastic delay differential equations

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