Numerical Solutions of Neutral Stochastic Functional Differential Equations

DOI10.1137/070697021MaRDI QIDQ3395074zbMATH OpenOpenAlexFDO

Authors Fuke Wu, Xuerong Mao

Publication date 20 August 2009

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://strathprints.strath.ac.uk/13830/

zbMATH Keywords

Euler-Maruyama methodneutral stochastic functional differential equationsstrong convergence

Mathematics Subject Classification ID

Neutral functional-differential equations (34K40) Stochastic functional-differential equations (34K50) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) 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)

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Cited in

(73)

• Discrete Razumikhin-type stability theorems for stochastic discrete-time delay systems
• Neutral stochastic functional differential equations with Lévy jumps under the local Lipschitz condition
• On mean-square stability of two-step Maruyama methods for nonlinear neutral stochastic delay differential equations
• Existence, uniqueness and almost surely asymptotic estimations of the solutions to neutral stochastic functional differential equations driven by pure jumps
• On the approximations of solutions to neutral SDEs with Markovian switching and jumps under non-Lipschitz conditions
• The truncated Euler-Maruyama method for stochastic differential delay equations
• Using waveform relaxation methods to approximate neutral stochastic functional differential equation systems
• On mean square stability and dissipativity of split-step theta method for nonlinear neutral stochastic delay differential equations
• Implicit numerical solutions to neutral-type stochastic systems with superlinearly growing coefficients
• Numerical solutions to neutral stochastic delay differential equations with Poisson jumps under local Lipschitz condition
• On random periodic solution to a neutral stochastic functional differential equation
• Strong convergence of the partially truncated Euler-Maruyama method for a class of stochastic differential delay equations
• An averaging principle for neutral stochastic functional differential equations driven by Poisson random measure
• Approximations of numerical method for neutral stochastic functional differential equations with Markovian switching
• Mean-square stability of two classes of \(\theta \)-methods for neutral stochastic delay integro-differential equations
• Convergence rate of the truncated Milstein method of stochastic differential delay equations
• Strong convergence of the split-step theta method for neutral stochastic delay differential equations
• Stability in distribution of numerical solution of neutral stochastic functional differential equations with infinite delay
• Convergence rate of Euler-Maruyama scheme for SDDEs of neutral type
• Analysis of stochastic neutral fractional functional differential equations
• On stability of solutions of stochastic delay differential equations
• Numerical method of highly nonlinear and nonautonomous neutral stochastic differential delay equations with Markovian switching
• Stability analysis of the -method for hybrid neutral stochastic functional differential equations with jumps
• Stability of numerical solution to pantograph stochastic functional differential equations
• Advances in the truncated Euler-Maruyama method for stochastic differential delay equations
• Complete backward Euler numerical scheme for general SFDEs with exponential stability under the polynomial growth condition
• Exponential stability in mean square of stochastic functional differential equations with infinite delay
• Exponential stability of the exact and numerical solutions for neutral stochastic delay differential equations
• Strong convergence of a tamed theta scheme for NSDDEs with one-sided Lipschitz drift
• Exponential mean square stability of the theta approximations for neutral stochastic differential delay equations
• Strong convergence of implicit numerical methods for nonlinear stochastic functional differential equations
• Numerical solution to highly nonlinear neutral-type stochastic differential equation
• Numerical approximation of nonlinear neutral stochastic functional differential equations
• Numerical solution of stochastic state-dependent delay differential equations: convergence and stability
• Almost sure exponential stability of the backward Euler-Maruyama discretization for highly nonlinear stochastic functional differential equation
• Mean square stability of two classes of theta method for neutral stochastic differential delay equations
• Input-to-state stability of linear stochastic functional differential equations
• scientific article; zbMATH DE number 5568602 (Why is no real title available?)
• Highly nonlinear neutral stochastic differential equations with time-dependent delay and the Euler-Maruyama method
• A note on order of convergence of numerical method for neutral stochastic functional differential equations
• scientific article; zbMATH DE number 2073942 (Why is no real title available?)
• Numerical Solutions of Stochastic Functional Differential Equations
• Almost sure exponential stability of the Euler-Maruyama approximations for stochastic functional differential equations
• Almost sure and mean square exponential stability of numerical solutions for neutral stochastic functional differential equations
• Convergence rates of theta-method for NSDDEs under non-globally Lipschitz continuous coefficients
• Almost sure exponential stability of semi-Euler numerical scheme for nonlinear stochastic functional differential equation
• Moment estimate and existence for the solution of neutral stochastic functional differential equation
• Efficient stochastic Runge-Kutta methods for stochastic differential equations with small noises
• scientific article; zbMATH DE number 6453934 (Why is no real title available?)
• Convergence of the semi-implicit Euler method for neutral stochastic delay differential equations with phase semi-Markovian switching
• Exponential stability in mean square of neutral stochastic functional differential equations
• Numerical solutions of stochastic functional differential equations with impulsive perturbations and Markovian switching
• Asymptotic mean‐square boundedness of the numerical solutions for stochastic complex‐valued neural networks with jumps
• Hybrid stochastic functional differential equations with infinite delay: approximations and numerics
• Continuity and approximation properties of solutions to fractional neutral stochastic functional differential equations with non-Lipschitz coefficients
• On stability of numerical solutions of neutral stochastic delay differential equations with time‐dependent delay
• Some analytic approximations for neutral stochastic functional differential equations
• Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions
• Convergence rate of the truncated Euler-Maruyama method for highly nonlinear neutral stochastic differential equations with time-dependent delay
• Numerical approximations of stochastic delay differential equations with delayed impulses
• Numerical solutions of neutral stochastic functional differential equations with Markovian switching
• The existence and asymptotic estimations of solutions to stochastic pantograph equations with diffusion and Lévy jumps
• An explicit analytic approximation of solutions for a class of neutral stochastic differential equations with time-dependent delay based on Taylor expansion
• Exponential stability of numerical solution to neutral stochastic functional differential equation
• Input-to-state stability in discrete-time stochastic delay systems featuring Markovian switching and impulsive effects
• Approximation of random periodic solutions for neutral type SDEs with non-uniform dissipativity
• Exponential stability in mean square of theta approximations for neutral stochastic delay differential equations with Poisson jumps
• Strong converge order of the general one-step method for neutral stochastic delay differential equations under a global monotone condition
• Convergence and stability in mean square of the stochastic -methods for systems of NSDDEs under a coupled monotonicity condition
• Regularity analysis for SFDEs driven by mixed fractional Brownian motion and strong convergence of a numerical scheme
• Approximation for stochastic functional differential equation with past-dependent switching
• Strong convergence analysis of modified truncated Euler-Maruyama scheme for neutral stochastic delay differential equations with piecewise continuous arguments
• The W-transform in stability analysis for stochastic linear functional difference equations

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