Delay-dependent stability analysis of numerical methods for stochastic delay differential equations

DOI10.1016/J.CAM.2012.03.003zbMATH Open1246.65013OpenAlexW2077736431MaRDI QIDQ425348FDOQ425348

Desheng Wang, Siqing Gan, Chengming Huang

Publication date: 8 June 2012

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

Full work available at URL: https://doi.org/10.1016/j.cam.2012.03.003

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zbMATH Keywords

numerical examplesalgorithmdifference equationbackward Euler methoddelay-dependent stabilityEuler-Maruyama methodtheta methodlinear stochastic delay differential equationmean square asymptotic stability

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear functional-differential equations (34K06) Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Finite difference and finite volume methods for ordinary differential equations (65L12) Stability and convergence of numerical methods for ordinary differential equations (65L20)

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Cited In (40)

• 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
• A neurodynamic approach to convex optimization problems with general constraint
• Convergence analyses on sparse feedforward neural networks via group lasso regularization
• 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
• Stability of analytical and numerical solutions of nonlinear stochastic delay differential equations
• Preserving asymptotic mean-square stability of stochastic theta scheme for systems of stochastic delay differential equations
• Unique stationary distribution and ergodicity of a stochastic logistic model with distributed delay
• Delay-dependent stability of predictor-corrector methods of Runge-Kutta type for stochastic delay differential equations
• Complete backward Euler numerical scheme for general SFDEs with exponential stability under the polynomial growth condition
• S-ROCK methods for stochastic delay differential equations with one fixed delay
• ON HALANAY-TYPE ANALYSIS OF EXPONENTIAL STABILITY FOR THE θ-MARUYAMA METHOD FOR STOCHASTIC DELAY DIFFERENTIAL EQUATIONS
• On \({\mathcal L}^p\)-stability of numerical schemes for linear stochastic delay differential equations
• Almost sure exponential stability of an explicit stochastic orthogonal Runge-Kutta-Chebyshev method for stochastic delay differential equations
• Stability analysis of split-step \(\theta \)-Milstein method for a class of \(n\)-dimensional stochastic differential equations
• A class of stochastic one-parameter methods for nonlinear SFDEs with piecewise continuous arguments
• On solving some stochastic delay differential equations by Daubechies wavelet
• A generalized neural network for solving a class of minimax optimization problems with linear constraints
• Lagrange stability of neural networks with memristive synapses and multiple delays
• Asymptotic mean-square stability of explicit Runge-Kutta Maruyama methods for stochastic delay differential equations
• Model building and optimization analysis of MDF continuous hot-pressing process by neural network
• Stochastic probical strategies in a delay virus infection model to combat COVID-19
• Mean square stability and dissipativity of two classes of theta methods for systems of stochastic delay differential equations
• Multiple \(\mu\)-stability of neural networks with unbounded time-varying delays
• A two-parameter Milstein method for stochastic Volterra integral equations
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• The Behavior of a Predator–Prey System in a Stochastic Environment with Fear and Distributed Delay
• Delay dependent asymptotic mean square stability analysis of the stochastic exponential Euler method
• The strong convergence and stability of explicit approximations for nonlinear stochastic delay differential equations
• Exponential mean-square stability of numerical solutions for stochastic delay integro-differential equations with Poisson jump
• Stationary distribution of the Milstein scheme for stochastic differential delay equations with first-order convergence
• Projected Euler-Maruyama method for stochastic delay differential equations under a global monotonicity condition
• Convergence and stability of the split-step \(\theta\)-Milstein method for stochastic delay Hopfield neural networks
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• Delay dependent stability of a class of boundary value methods for delay differential equation
• Dynamic property of a stochastic cooperative species system with distributed delays and Ornstein–Uhlenbeck process
• A complex-valued neural dynamical optimization approach and its stability analysis
• Asymptotic mean square stability of predictor-corrector methods for stochastic delay ordinary and partial differential equations
• Dynamical behavior of a stochastic SIQR epidemic model with Ornstein-Uhlenbeck process and standard incidence rate after dimensionality reduction

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