Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients

DOI10.1016/J.CAM.2014.10.014zbMATH Open1306.65011OpenAlexW2095272332MaRDI QIDQ475669FDOQ475669

Authors: Xiaofeng Zong, Fuke Wu, Chengming Huang 

Publication date: 27 November 2014

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.2014.10.014

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• Convergence rates of truncated theta-EM scheme for SDDEs
• \(\theta\)-Maruyama methods for nonlinear stochastic differential delay equations

zbMATH Keywords

exponential mean square stabilitystochastic differential delay equationsplit-step theta schemestochastic linear theta schemestrong convergence rate

Mathematics Subject Classification ID

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) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Cites Work

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• Multi-Step Maruyama Methods for Stochastic Delay Differential Equations

Cited In (31)

• Preserving asymptotic mean-square stability of stochastic theta scheme for systems of stochastic delay differential equations
• Stationary distribution of the stochastic theta method for nonlinear stochastic differential equations
• 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
• Convergence and stability of the compensated split-step theta method for stochastic differential equations with piecewise continuous arguments driven by Poisson random measure
• Complete backward Euler numerical scheme for general SFDEs with exponential stability under the polynomial growth condition
• Convergence rate and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments
• Strong convergence of the split-step backward Euler method for stochastic delay differential equations with a nonlinear diffusion coefficient
• Strong convergence of compensated split-step theta methods for SDEs with jumps under monotone condition
• Convergence of the compensated split-step \(\theta\)-method for nonlinear jump-diffusion systems
• The projected explicit Itô-Taylor methods for stochastic differential equations under locally Lipschitz conditions and polynomial growth conditions
• Convergence and stability of stochastic theta method for nonlinear stochastic differential equations with piecewise continuous arguments
• Mean square stability of the split-step theta method for non-linear time-changed stochastic differential equations
• Almost sure exponential stability of the θ-Euler-Maruyama method for neutral stochastic differential equations with time-dependent delay when θ ∈ [0; 1 2]
• Almost sure convergence rate of \(\theta\)-EM scheme for neutral SDDEs
• The stochastic \(\theta\) method for stationary distribution of stochastic differential equations with Markovian switching
• A note on strong convergence of implicit scheme for SDEs under local one-sided Lipschitz conditions
• Numerical solution of stochastic state-dependent delay differential equations: convergence and stability
• Analysis of non-negativity and convergence of solution of the balanced implicit method for the delay Cox-Ingersoll-Ross model
• Numerical solution to highly nonlinear neutral-type stochastic differential equation
• Convergence and stability of split-step theta methods with variable step-size for stochastic pantograph differential equations
• Projected Euler-Maruyama method for stochastic delay differential equations under a global monotonicity condition
• Almost sure exponential stability of the Milstein-type schemes for stochastic delay differential equations
• Convergence and stability of two classes of theta-Milstein schemes for stochastic differential equations
• Convergence and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments
• Split-step balanced \(\theta \)-method for SDEs with non-globally Lipschitz continuous coefficients
• A theta-scheme approximation of basic reproduction number for an age-structured epidemic system in a finite horizon
• Double-implicit and split two-step Milstein schemes for stochastic differential equations
• Convergence rates of theta-method for NSDDEs under non-globally Lipschitz continuous coefficients
• Positivity preserving logarithmic Euler-Maruyama type scheme for stochastic differential equations
• Property and numerical simulation of the Ait-Sahalia-Rho model with nonlinear growth conditions

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