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

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)

Recommendations

• Strong convergence of the split-step theta method for stochastic delay differential equations with nonglobally Lipschitz continuous coefficients
• Convergence and stability of two classes of theta-Milstein schemes for stochastic differential equations
• Strong convergence of the split-step one-leg \(\theta \) methods for stochastic differential equations
• Convergence rates of truncated theta-EM scheme for SDDEs
• \(\theta\)-Maruyama methods for nonlinear stochastic differential delay equations

Cites work

• scientific article; zbMATH DE number 1099342 (Why is no real title available?)
• scientific article; zbMATH DE number 850216 (Why is no real title available?)
• A note on Euler approximations for stochastic differential equations with delay
• Almost sure asymptotic stability analysis of the \(\theta\)-Maruyama method applied to a test system with stabilising and destabilising stochastic perturbations
• Convergence and stability of the semi-tamed Euler scheme for stochastic differential equations with non-Lipschitz continuous coefficients
• Convergence of numerical methods for stochastic differential equations in mathematical finance
• Convergence of the stochastic Euler scheme for locally Lipschitz coefficients
• Convergence rate of EM scheme for SDDEs
• Convergence rate of numerical solutions to SFDEs with jumps
• Discrete-time approximations of stochastic delay equations: the Milstein scheme.
• Existence and uniqueness of solutions of stochastic functional differential equations
• Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Infinite horizon optimal control of forward-backward stochastic differential equations with delay
• LaSalle-type theorems for stochastic differential delay equations
• Mean square stability and dissipativity of two classes of theta methods for systems of stochastic delay differential equations
• Multi-Step Maruyama Methods for Stochastic Delay Differential Equations
• Numerical Solutions of Stochastic Differential Delay Equations with Jumps
• Numerical Solutions of Stochastic Functional Differential Equations
• Numerical analysis of explicit one-step methods for stochastic delay differential equations
• Numerical solutions of stochastic differential delay equations under local Lipschitz condition
• Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions
• Preserving exponential mean square stability and decay rates in two classes of theta approximations of stochastic differential equations
• Stability of analytical and numerical solutions of nonlinear stochastic delay differential equations
• Stochastic Differential Delay Equation, Moment Stability, and Application to Hematopoietic Stem Cell Regulation System
• Stochastic differential delay equations with Markovian switching
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
• Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift
• Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems
• Strong convergence rates for backward Euler-Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
• The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions
• The Milstein scheme for stochastic delay differential equations without using anticipative calculus
• The boundedness and exponential stability criterions for nonlinear hybrid neutral stochastic functional differential equations
• The improved split-step backward Euler method for stochastic differential delay equations
• The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients
• Weak convergence of the Euler scheme for stochastic differential delay equations

Cited in

(32)

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

This page was built for publication: Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q475669)