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

DOI10.1016/J.CAM.2014.02.033MaRDI QIDQ396243zbMATH OpenOpenAlexFDO

Authors Desheng Wang, Siqing Gan, Aiguo Xiao

Publication date 8 August 2014

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

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

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)

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.

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Cited in

(21)

• Stability of the drift-implicit and double-implicit Milstein schemes for nonlinear SDEs
• Equivalence of pth 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
• Stability of analytical and numerical solutions for nonlinear stochastic delay differential equations with jumps
• 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
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• Stability of stochastic SIRS epidemic models with saturated incidence rates and delay
• Asymptotic mean square boundedness of numerical solutions to stochastic delay differential equations
• 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
• scientific article; zbMATH DE number 7594708 (Why is no real title available?)
• Delay dependent asymptotic mean square stability analysis of the stochastic exponential Euler method
• Delay-dependent exponential stability of the backward Euler method for nonlinear stochastic delay differential equations

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