Convergence and almost sure exponential stability of implicit numerical methods for a class of highly nonlinear neutral stochastic differential equations with constant delay

DOI10.1016/J.CAM.2014.12.002zbMATH Open1315.60070OpenAlexW1963695507MaRDI QIDQ484872FDOQ484872

M. Milosevic

Publication date: 8 January 2015

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.2014.12.002

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zbMATH Keywords

backward Euler methodnonlinear growth conditionsone-sided Lipschitz conditionasymptotic exponential stabilityneutral stochastic delay differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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Cited In (12)

• Strong convergence and stability of the split-step theta method for highly nonlinear neutral stochastic delay integro differential equation
• Convergence rate and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments
• Exponential stability of highly nonlinear hybrid NSDEs with multiple time-dependent delays and different structures and the Euler-Maruyama method
• On observer-based control of one-sided Lipschitz systems
• Strong convergence of the split-step theta method for neutral stochastic delay differential equations
• Convergence and stability of modified partially truncated Euler-Maruyama method for stochastic differential equations with piecewise continuous arguments
• On exponential stability of hybrid neutral stochastic differential delay equations with different structures
• The balanced split step theta approximations of stochastic neutral Hopfield neural networks with time delay and Poisson jumps
• Convergence and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments
• Stability analysis of split-step theta method for neutral stochastic delayed neural networks
• Stability analysis of the \(\theta\)-method for hybrid neutral stochastic functional differential equations with jumps
• Strong convergence rates of modified truncated EM methods for neutral stochastic differential delay equations

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