One-step approximations for stochastic functional differential equations

DOI10.1016/J.APNUM.2005.05.001zbMATH Open1105.65005OpenAlexW2089013849MaRDI QIDQ2490728FDOQ2490728

Authors: Evelyn Buckwar 

Publication date: 18 May 2006

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

Full work available at URL: http://edoc.hu-berlin.de/18452/3236

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zbMATH Keywords

error estimatesmean-square convergencedrift-implicit one-step schemessystems of Itô stochastic functional differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Stability and convergence of numerical methods for ordinary differential equations (65L20) Error bounds for numerical methods for ordinary differential equations (65L70)

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Cited In (15)

• Approximate solutions of hybrid stochastic pantograph equations with Levy jumps
• Title not available (Why is that?)
• Numerical treatment of stochastic delay differential equations: a global error bound
• An approximate method via Taylor series for stochastic functional differential equations
• On mean-square stability of two-step Maruyama methods for nonlinear neutral stochastic delay differential equations
• Convergence and stability of numerical solutions to a class of index 1 stochastic differential algebraic equations with time delay
• Convergence of numerical solutions for variable delay differential equations driven by Poisson random jump measure
• \(\theta\)-Maruyama methods for nonlinear stochastic differential delay equations
• Multi-Step Maruyama Methods for Stochastic Delay Differential Equations
• Mean-square convergence of drift-implicit one-step methods for neutral stochastic delay differential equations with jump diffusion
• Projected Euler-Maruyama method for stochastic delay differential equations under a global monotonicity condition
• Convergence and stability of the split-step \(\theta\)-Milstein method for stochastic delay Hopfield neural networks
• Mean square convergence of one-step methods for neutral stochastic differential delay equations
• The ⊝-Maruyama scheme for stochastic functional differential equations with distributed memory term *
• On mean square stability and dissipativity of split-step theta method for nonlinear neutral stochastic delay differential equations

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