Stability of analytical and numerical solutions of nonlinear stochastic delay differential equations

DOI10.1016/J.CAM.2014.02.033zbMATH Open1293.65011arXiv1301.5389OpenAlexW2592112716MaRDI QIDQ396243FDOQ396243

Desheng Wang, Aiguo Xiao, Siqing Gan

Publication date: 8 August 2014

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

Abstract: This paper concerns the stability of analytical and numerical solutions of nonlinear stochastic delay differential equations (SDDEs). We derive sufficient conditions for the stability, contractivity and asymptotic contractivity in mean square of the solutions for nonlinear SDDEs. The results provide a unified theoretical treatment for SDDEs with constant delay and variable delay (including bounded and unbounded variable delays). Then the stability, contractivity and asymptotic contractivity in mean square are investigated for the backward Euler method. It is shown that the backward Euler method preserves the properties of the underlying SDDEs. The main results obtained in this work are different from those of Razumikhin-type theorems. Indeed, our results hold without the necessity of constructing of finding an appropriate Lyapunov functional.

Full work available at URL: https://arxiv.org/abs/1301.5389

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zbMATH Keywords

backward Euler methodasymptotic contractivity in mean squarecontractivity in mean squarenonlinear stochastic delay differential equationstability in mean square

Mathematics Subject Classification ID

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

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Cited In (18)

• Equivalence of \(p\)th moment stability between stochastic differential delay equations and their numerical methods
• T-stability of numerical solutions for linear stochastic differential equations with delay
• Delay dependent stability of stochastic split-step \(\theta\) methods for stochastic delay differential equations
• The semimartingale approach to almost sure stability analysis of a two-stage numerical method for stochastic delay differential equation
• On strong convergence of explicit numerical methods for stochastic delay differential equations under non-global Lipschitz conditions
• Strong convergence and stability of the split-step theta method for highly nonlinear neutral stochastic delay integro differential equation
• Numerical solutions of SDEs with Markovian switching and jumps under non-Lipschitz conditions
• About one method of stability investigation for nonlinear stochastic delay differential equations
• Stability of stochastic SIRS epidemic models with saturated incidence rates and delay
• Convergence and stability of the semi-tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients
• The asymptotic behavior of solutions for stochastic evolution equations with pantograph delay
• Strong convergence of the split-step theta method for neutral stochastic delay differential equations
• Asymptotic mean-square stability of explicit Runge-Kutta Maruyama methods for stochastic delay differential equations
• Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients
• A two-parameter Milstein method for stochastic Volterra integral equations
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• Delay dependent asymptotic mean square stability analysis of the stochastic exponential Euler method
• Stability of the drift-implicit and double-implicit Milstein schemes for nonlinear SDEs

Uses Software

• RODAS

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