Strong Predictor-Corrector Approximation for Stochastic Delay Differential Equations

DOI10.4208/JCM.1507-M4505zbMATH Open1349.65034OpenAlexW2295678454MaRDI QIDQ2992641FDOQ2992641

Authors: Yuanling Niu, Kevin Burrage, Cheng-Jian Zhang 

Publication date: 10 August 2016

Published in: Journal of Computational Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/jcm.1507-m4505

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zbMATH Keywords

convergencenumerical resultsmean-square stabilitystochastic delay differential equationsstrong predictor-corrector approximation

Mathematics Subject Classification ID

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

Cited In (13)

• Delay-dependent stability of predictor-corrector methods of Runge-Kutta type for stochastic delay differential equations
• On \({\mathcal L}^p\)-stability of numerical schemes for linear stochastic delay differential equations
• A class of stochastic one-parameter methods for nonlinear SFDEs with piecewise continuous arguments
• An adaptive weak continuous Euler-Maruyama method for stochastic delay differential equations
• Backward Euler-Maruyama method applied to nonlinear hybrid stochastic differential equations with time-variable delay
• STRONG PREDICTOR–CORRECTOR EULER METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS
• Introduction to the numerical analysis of stochastic delay differential equations
• A new approach to simulating stochastic delayed systems
• On the Stability of Predictor-Corrector Methods for Parabolic Equations with Delay
• Projected Euler-Maruyama method for stochastic delay differential equations under a global monotonicity condition
• Stochastic dynamics in a time-delayed model for autoimmunity
• Accuracy improvement of a predictor-corrector compact difference scheme for the system of two-dimensional coupled nonlinear wave equations
• Asymptotic mean square stability of predictor-corrector methods for stochastic delay ordinary and partial differential equations

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