Convergence of semi-implicit Euler method for nonlinear stochastic delay differential equations

MaRDI QIDQ3403472zbMATH OpenFDO

Authors Wenqiang Wang, Shan Huang, Shoufu Li

Publication date 12 February 2010

zbMATH Keywords

interpolationconvergenceerror analysisnonlinear stochastic delay differential equationssemi-implicit Euler methods

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) Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical methods for functional-differential equations (65L03)

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Cited in

(11)

• Convergence and stability of Euler method for impulsive stochastic delay differential equations
• On the convergence analysis of the inexact linearly implicit Euler scheme for a class of stochastic partial differential equations
• Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation
• scientific article; zbMATH DE number 6746774 (Why is no real title available?)
• A note on convergence of semi-implicit Euler methods for stochastic pantograph equations
• Convergence and stability of the semi-tamed Euler scheme for stochastic differential equations with non-Lipschitz continuous coefficients
• The Euler scheme and its convergence for impulsive delay differential equations
• The proof of the local convergence of the semi-implicit Euler method for a linear stochastic differential delay equation
• A semi-discretization method for delayed stochastic systems
• Convergence and stability of the semi-implicit Euler method for linear stochastic delay integro-differential equations
• Convergence analysis of semi-implicit Euler method for nonlinear stochastic delay differential equations of neutral type

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