Numerical Solutions of Neutral Stochastic Functional Differential Equations
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Publication:3395074
DOI10.1137/070697021zbMATH Open1173.65004OpenAlexW2077252113MaRDI QIDQ3395074FDOQ3395074
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/
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Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Neutral functional-differential equations (34K40) Stochastic functional-differential equations (34K50) 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)
Cited In (65)
- On stability of numerical solutions of neutral stochastic delay differential equations with time‐dependent delay
- Numerical Solutions of Stochastic Functional Differential Equations
- The existence and asymptotic estimations of solutions to stochastic pantograph equations with diffusion and Lévy jumps
- Complete backward Euler numerical scheme for general SFDEs with exponential stability under the polynomial growth condition
- Advances in the truncated Euler-Maruyama method for stochastic differential delay equations
- On the approximations of solutions to neutral SDEs with Markovian switching and jumps under non-Lipschitz conditions
- Almost sure exponential stability of the backward Euler-Maruyama discretization for highly nonlinear stochastic functional differential equation
- Using waveform relaxation methods to approximate neutral stochastic functional differential equation systems
- Efficient stochastic Runge-Kutta methods for stochastic differential equations with small noises
- Highly nonlinear neutral stochastic differential equations with time-dependent delay and the Euler-Maruyama method
- Mean-square stability of two classes of \(\theta \)-methods for neutral stochastic delay integro-differential equations
- Exponential stability in mean square of stochastic functional differential equations with infinite delay
- Approximations of numerical method for neutral stochastic functional differential equations with Markovian switching
- Mean square stability of two classes of theta method for neutral stochastic differential delay equations
- Convergence of the semi-implicit Euler method for neutral stochastic delay differential equations with phase semi-Markovian switching
- Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions
- Strong convergence of the partially truncated Euler-Maruyama method for a class of stochastic differential delay equations
- Convergence rate of the truncated Milstein method of stochastic differential delay equations
- Exponential stability of the exact and numerical solutions for neutral stochastic delay differential equations
- Discrete Razumikhin-type stability theorems for stochastic discrete-time delay systems
- A note on order of convergence of numerical method for neutral stochastic functional differential equations
- Input-to-state stability of linear stochastic functional differential equations
- Strong convergence of implicit numerical methods for nonlinear stochastic functional differential equations
- On mean-square stability of two-step Maruyama methods for nonlinear neutral stochastic delay differential equations
- Stability in distribution of numerical solution of neutral stochastic functional differential equations with infinite delay
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- The W-transform in stability analysis for stochastic linear functional difference equations
- Almost sure exponential stability of the Euler-Maruyama approximations for stochastic functional differential equations
- Strong convergence of the split-step theta method for neutral stochastic delay differential equations
- Convergence rate of Euler-Maruyama scheme for SDDEs of neutral type
- Stability of numerical solution to pantograph stochastic functional differential equations
- Some analytic approximations for neutral stochastic functional differential equations
- On stability of solutions of stochastic delay differential equations
- An averaging principle for neutral stochastic functional differential equations driven by Poisson random measure
- Numerical approximation of nonlinear neutral stochastic functional differential equations
- Existence, uniqueness and almost surely asymptotic estimations of the solutions to neutral stochastic functional differential equations driven by pure jumps
- Exponential mean square stability of the theta approximations for neutral stochastic differential delay equations
- Numerical solution to highly nonlinear neutral-type stochastic differential equation
- Numerical method of highly nonlinear and nonautonomous neutral stochastic differential delay equations with Markovian switching
- Almost sure and mean square exponential stability of numerical solutions for neutral stochastic functional differential equations
- Neutral stochastic functional differential equations with Lévy jumps under the local Lipschitz condition
- Analysis of stochastic neutral fractional functional differential equations
- Strong convergence of a tamed theta scheme for NSDDEs with one-sided Lipschitz drift
- Almost sure exponential stability of semi-Euler numerical scheme for nonlinear stochastic functional differential equation
- Numerical solutions of neutral stochastic functional differential equations with Markovian switching
- 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
- Convergence rates of theta-method for NSDDEs under non-globally Lipschitz continuous coefficients
- Implicit numerical solutions to neutral-type stochastic systems with superlinearly growing coefficients
- Stability analysis of the \(\theta\)-method for hybrid neutral stochastic functional differential equations with jumps
- On mean square stability and dissipativity of split-step theta method for nonlinear neutral stochastic delay differential equations
- Numerical solutions of stochastic functional differential equations with impulsive perturbations and Markovian switching
- The truncated Euler-Maruyama method for stochastic differential delay equations
- 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
- Moment estimate and existence for the solution of neutral stochastic functional differential equation
- Convergence rate of the truncated Euler-Maruyama method for highly nonlinear neutral stochastic differential equations with time-dependent delay
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- Numerical approximations of stochastic delay differential equations with delayed impulses
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- Asymptotic mean‐square boundedness of the numerical solutions for stochastic complex‐valued neural networks with jumps
- Numerical solution of stochastic state-dependent delay differential equations: convergence and stability
- Hybrid stochastic functional differential equations with infinite delay: approximations and numerics
- Exponential stability in mean square of neutral stochastic functional differential equations
- Continuity and approximation properties of solutions to fractional neutral stochastic functional differential equations with non-Lipschitz coefficients
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