Almost sure exponential stability of the backward Euler-Maruyama discretization for highly nonlinear stochastic functional differential equation

DOI10.1016/J.AMC.2014.03.010MaRDI QIDQ273262zbMATH OpenOpenAlexWikidataFDO

Authors Shaobo Zhou, Songfa Xie, Zheng Fang

Publication date 21 April 2016

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

Full work available at URL https://doi.org/10.1016/j.amc.2014.03.010

zbMATH Keywords

almost sure exponential stabilitybackward Euler-Maruyama methodpolynomial growth conditionssemi-martingale convergence theoremstochastic functional differential equations

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• scientific article; zbMATH DE number 625166 (Why is no real title available?)
• Almost sure exponential stability of backward Euler-Maruyama discretizations for hybrid stochastic differential equations
• Almost sure exponential stability of numerical solutions for stochastic delay differential equations
• Almost sure exponential stability of solutions to highly nonlinear neutral stochastic differential equations with time-dependent delay and the Euler-Maruyama approximation
• Almost sure exponential stability of the Euler-Maruyama approximations for stochastic functional differential equations
• Highly nonlinear neutral stochastic differential equations with time-dependent delay and the Euler-Maruyama method
• Numerical Solutions of Neutral Stochastic Functional Differential Equations
• Numerical Solutions of Stochastic Functional Differential Equations
• Numerical approximation of nonlinear neutral stochastic functional differential equations
• Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions
• Positive solution and its asymptotic behaviour of stochastic functional Kolmogorov-type system
• Robustness of exponential stability of a class of stochastic functional differential equations with infinite delay
• Robustness of general decay stability of nonlinear neutral stochastic functional differential equations with infinite delay
• Stability of nonlinear neutral stochastic functional differential equations
• Stochastic Kolmogorov-type population dynamics with infinite distributed delays
• Stochastic Kolmogorov-type system with infinite delay
• Ultimate boundedness of stochastic functional Kolmogorov-type systems

Cited in

(17)

• Discrete Razumikhin-type technique and stability of the Euler-Maruyama method to stochastic functional differential equations
• Complete backward Euler numerical scheme for general SFDEs with exponential stability under the polynomial growth condition
• Almost sure exponential stability of backward Euler-Maruyama discretizations for hybrid stochastic differential equations
• Divergence of the backward Euler method for ordinary stochastic differential equations
• Numerical approximation for nonlinear stochastic pantograph equations with Markovian switching
• Strong convergence of implicit numerical methods for nonlinear stochastic functional differential equations
• Almost sure exponential stability of the Euler-Maruyama approximations for stochastic functional differential equations
• Convergence and almost sure polynomial stability of the backward and forward-backward Euler methods for highly nonlinear pantograph stochastic differential equations
• An explicit approximation for super-linear stochastic functional differential equations
• Almost surely exponential stability of numerical solutions for stochastic pantograph equations
• Stability of a class of neutral stochastic functional differential equations with Markovian switching
• Almost sure exponential stability of implicit numerical solution for stochastic functional differential equation with extended polynomial growth condition
• Split-step balanced \(\theta \)-method for SDEs with non-globally Lipschitz continuous coefficients
• Almost sure exponential stability of semi-Euler numerical scheme for nonlinear stochastic functional differential equation
• Exponential stability of numerical solution to neutral stochastic functional differential equation
• Implicit numerical solutions to neutral-type stochastic systems with superlinearly growing coefficients
• Delay-dependent stability of non-linear hybrid stochastic functional differential equations

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