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

DOI10.1016/j.cam.2012.03.003zbMath1246.65013OpenAlexW2077736431MaRDI QIDQ425348

Desheng Wang, Si-qing Gan, Cheng-Ming 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

zbMATH Keywords

algorithmnumerical examplesbackward Euler methoddifference equationdelay-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) Stability and convergence of numerical methods for ordinary differential equations (65L20) Stochastic functional-differential equations (34K50) Linear functional-differential equations (34K06) 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)

Related Items (30)

A class of stochastic one-parameter methods for nonlinear SFDEs with piecewise continuous arguments ⋮ Almost sure exponential stability of an explicit stochastic orthogonal Runge-Kutta-Chebyshev method for stochastic delay differential equations ⋮ Unique stationary distribution and ergodicity of a stochastic logistic model with distributed delay ⋮ Preserving asymptotic mean-square stability of stochastic theta scheme for systems of stochastic delay differential equations ⋮ Stochastic probical strategies in a delay virus infection model to combat COVID-19 ⋮ Convergence and stability of the split-step \(\theta\)-Milstein method for stochastic delay Hopfield neural networks ⋮ 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 ⋮ Stationary distribution of the Milstein scheme for stochastic differential delay equations with first-order convergence ⋮ S-ROCK methods for stochastic delay differential equations with one fixed delay ⋮ Dynamic property of a stochastic cooperative species system with distributed delays and Ornstein–Uhlenbeck process ⋮ Asymptotic mean-square stability of explicit Runge-Kutta Maruyama methods for stochastic delay differential equations ⋮ Delay dependent asymptotic mean square stability analysis of the stochastic exponential Euler method ⋮ A generalized neural network for solving a class of minimax optimization problems with linear constraints ⋮ Complete backward Euler numerical scheme for general SFDEs with exponential stability under the polynomial growth condition ⋮ Unnamed Item ⋮ Lagrange stability of neural networks with memristive synapses and multiple delays ⋮ Strong superconvergence of the Euler-Maruyama method for linear stochastic Volterra integral equations ⋮ Mean square stability and dissipativity of two classes of theta methods for systems of stochastic delay differential equations ⋮ Delay dependent stability of stochastic split-step \(\theta\) methods for stochastic delay differential equations ⋮ Stability analysis of split-step \(\theta \)-Milstein method for a class of \(n\)-dimensional stochastic differential equations ⋮ A neurodynamic approach to convex optimization problems with general constraint ⋮ Projected Euler-Maruyama method for stochastic delay differential equations under a global monotonicity condition ⋮ Model building and optimization analysis of MDF continuous hot-pressing process by neural network ⋮ Convergence analyses on sparse feedforward neural networks via group lasso regularization ⋮ A two-parameter Milstein method for stochastic Volterra integral equations ⋮ 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 ⋮ Dynamical behavior of a stochastic SIQR epidemic model with Ornstein-Uhlenbeck process and standard incidence rate after dimensionality reduction ⋮ Multiple \(\mu\)-stability of neural networks with unbounded time-varying delays

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation
• Exponential stability of equidistant Euler-Maruyama approximations of stochastic differential delay equations
• Almost sure exponential stability of numerical solutions for stochastic delay differential equations
• Delay-dependent stability of high order Runge-Kutta methods
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Order stars and stability for delay differential equations
• Numerical solutions of stochastic differential equations -- implementation and stability issues
• Delay equations. Functional-, complex-, and nonlinear analysis
• On stationary solutions of a stochastic differential equation
• Stability of the positive point of equilibrium of Nicholson's blowflies equation with stochastic perturbations: numerical analysis
• Reliability of difference analogues to preserve stability properties of stochastic Volterra integro-differential equations
• Asymptotic mean-square stability of two-step methods for stochastic ordinary differential equations
• Exponential stability in \(p\)-th mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations
• Numerical Analysis of Explicit One-Step Methods for Stochastic Delay Differential Equations
• An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
• Some Applications of the Boundary-Locus Method and the Method of D-Partitions
• Stochastic Differential Delay Equation, Moment Stability, and Application to Hematopoietic Stem Cell Regulation System
• Geometric Brownian motion with delay: mean square characterisation
• Delay dependent stability regions of  -methods for delay differential equations
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• An Analysis of Delay-Dependent Stability for Ordinary and Partial Differential Equations with Fixed and Distributed Delays
• Numerical Approximation of Some Linear Stochastic Partial Differential Equations Driven by Special Additive Noises
• Delay-dependent exponential stability of the backward Euler method for nonlinear stochastic delay differential equations
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations

This page was built for publication: Delay-dependent stability analysis of numerical methods for stochastic delay differential equations