Highly nonlinear neutral stochastic differential equations with time-dependent delay and the Euler-Maruyama method
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Eulerconvergence in probabilityneutral stochastic differential equationstime-dependent delayMaruyama methodkhasminskii-type conditions
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)
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Cites work
- scientific article; zbMATH DE number 3176450 (Why is no real title available?)
- scientific article; zbMATH DE number 1016795 (Why is no real title available?)
- A Taylor polynomial approach in approximations of solution to pantograph stochastic differential equations with Markovian switching
- An analytic approximate method for solving stochastic integrodifferential equations
- An analytic approximation of solutions of stochastic differential equations
- An approximate method via Taylor series for stochastic functional differential equations
- Exponential stability of equidistant Euler-Maruyama approximations of stochastic differential delay equations
- Khasminskii-Type Theorems for Stochastic Differential Delay Equations
- Neutral stochastic functional differential equations with additive perturbations
- New criteria on exponential stability of neutral stochastic differential delay equations
- Numerical Solutions of Neutral Stochastic Functional Differential Equations
- Numerical solutions of stochastic differential delay equations under local Lipschitz condition
- On the \(p\)th moment exponential stability criteria of neutral stochastic functional differential equations
- On the exponential stability in mean square of neutral stochastic functional differential equations
- Razumikhin-Type Theorems on Exponential Stability of Neutral Stochastic Differential Equations
- Stability of nonlinear neutral stochastic functional differential equations
- Weak approximation of stochastic differential delay equations
Cited in
(38)- Almost surely exponential stability of numerical solutions for stochastic pantograph equations
- Numerical approximation of stochastic differential delay equation with coefficients of polynomial growth
- Exponential stability of highly nonlinear hybrid NSDEs with multiple time-dependent delays and different structures and the Euler-Maruyama method
- On exponential stability of hybrid neutral stochastic differential delay equations with different structures
- Convergence and almost sure polynomial stability of the backward and forward-backward Euler methods for highly nonlinear pantograph stochastic differential equations
- Almost sure exponential stability of the backward Euler-Maruyama discretization for highly nonlinear stochastic functional differential equation
- Numerical approximation of nonlinear neutral stochastic functional differential equations
- An averaging principle for fast-slow-coupled neutral stochastic differential equations with time-varying delay
- Existence, uniqueness, almost sure polynomial stability of solution to a class of highly nonlinear pantograph stochastic differential equations and the Euler-Maruyama approximation
- Mean-square stability of two classes of \(\theta \)-methods for neutral stochastic delay integro-differential equations
- The Truncated Em Method for Jump-Diffusion Sddes with Super-Linearly Growing Diffusion and Jump Coefficients
- Implicit numerical methods for highly nonlinear neutral stochastic differential equations with time-dependent delay
- Convergence rate of Euler-Maruyama scheme for SDDEs of neutral type
- Almost sure exponential stability of numerical solutions for stochastic pantograph differential equations
- Numerical schemes for stochastic differential equations with variable and distributed delays: the interpolation approach
- On stability of numerical solutions of neutral stochastic delay differential equations with time‐dependent delay
- Almost sure exponential stability of the \(\theta \)-Euler-Maruyama method, when \(\theta \in (\frac{1}{2},1)\), for neutral stochastic differential equations with time-dependent delay under nonlinear growth conditions
- Almost sure exponential stability of semi-Euler numerical scheme for nonlinear stochastic functional differential equation
- 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
- Strong convergence and stability of backward Euler-Maruyama scheme for highly nonlinear hybrid stochastic differential delay equation
- Numerical solution to highly nonlinear neutral-type stochastic differential equation
- Almost sure exponential stability of the θ-Euler-Maruyama method for neutral stochastic differential equations with time-dependent delay when θ ∈ [0; 1 2]
- Tamed EM schemes for neutral stochastic differential delay equations with superlinear diffusion coefficients
- Sufficient conditions on the exponential stability of neutral stochastic differential equations with time-varying delays
- Convergence rate of the truncated Euler-Maruyama method for highly nonlinear neutral stochastic differential equations with time-dependent delay
- Strong convergence of the split-step theta method for neutral stochastic delay differential equations
- Implicit numerical solutions to neutral-type stochastic systems with superlinearly growing coefficients
- Stability of a class of neutral stochastic differential equations with unbounded delay and Markovian switching and the Euler-Maruyama method
- Convergence and almost sure exponential stability of implicit numerical methods for a class of highly nonlinear neutral stochastic differential equations with constant delay
- Two-step Maruyama schemes for nonlinear stochastic differential delay equations
- Almost sure exponential stability of solutions to highly nonlinear neutral stochastic differential equations with time-dependent delay and the Euler-Maruyama approximation
- Implicit numerical methods for neutral stochastic differential equations with unbounded delay and Markovian switching
- Backward Euler-Maruyama method applied to nonlinear hybrid stochastic differential equations with time-variable delay
- On the asymptotic stability and numerical analysis of solutions to nonlinear stochastic differential equations with jumps
- Strong convergence of implicit numerical methods for nonlinear stochastic functional differential equations
- Almost sure and mean square exponential stability of numerical solutions for neutral stochastic functional differential equations
- Strong and weak divergence of the backward Euler method for neutral stochastic differential equations with time-dependent delay
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