Euler-Maruyama method for a class of stochastic differential algebraic systems with delay
zbMATH Open1240.65015MaRDI QIDQ3170658FDOQ3170658
Authors: Feiyan Xiao, Cheng-Jian Zhang 
Publication date: 29 September 2011
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numerical examplesmean-square convergenceEuler-Maruyama methodindex 1mean-square consistencystochastic differential algebraic system with delay
Numerical methods for differential-algebraic equations (65L80) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Implicit ordinary differential equations, differential-algebraic equations (34A09) Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Finite difference and finite volume methods for ordinary differential equations (65L12) Stability and convergence of numerical methods for ordinary differential equations (65L20)
Cited In (3)
- Convergence and stability of numerical solutions to a class of index 1 stochastic differential algebraic equations with time delay
- Multi-Step Maruyama Methods for Stochastic Delay Differential Equations
- A general class of one-step approximation for index-1 stochastic delay-differential-algebraic equations
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