Mean square convergence of one-step methods for neutral stochastic differential delay equations

DOI10.1016/j.amc.2008.07.034zbMath1155.65010MaRDI QIDQ2518671

Haomin Zhang, Si-qing Gan

Publication date: 16 January 2009

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2008.07.034

zbMATH Keywords

rate of convergence; consistency; numerical methods; mean square convergence; Lipschitz conditions; Milstein method; Euler-type methods; drift-implicit one-step schemes; neutral stochastic differential delay equations

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

34K50: Stochastic functional-differential equations

65C30: Numerical solutions to stochastic differential and integral equations

Related Items

Stochastic symplectic partitioned Runge-Kutta methods for stochastic Hamiltonian systems with multiplicative noise, Mean-square stability of semi-implicit Euler method for nonlinear neutral stochastic delay differential equations, Mean-square convergence of drift-implicit one-step methods for neutral stochastic delay differential equations with jump diffusion

Cites Work

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• Stability of functional differential equations
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Introduction to the numerical analysis of stochastic delay differential equations
• One-step approximations for stochastic functional differential equations