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.2014.12.002MaRDI QIDQ484872zbMATH OpenOpenAlexFDO

Authors 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

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)

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Cites work

• scientific article; zbMATH DE number 1232374 (Why is no real title available?)
• scientific article; zbMATH DE number 1016795 (Why is no real title available?)
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• Almost sure exponential stability of numerical solutions for stochastic delay differential equations
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• Almost sure exponential stability of the \(\theta\)-method for stochastic differential equations
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• Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions
• Stability of nonlinear neutral stochastic functional differential equations
• Stochastic Differential Equations with Markovian Switching
• Stochastic differential delay equations with jumps, under nonlinear growth condition
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift

Cited in

(17)

• 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
• Implicit numerical methods for highly nonlinear neutral stochastic differential equations with time-dependent delay
• Implicit numerical methods for neutral stochastic differential equations with unbounded delay and Markovian switching
• Exponential stability of highly nonlinear hybrid NSDEs with multiple time-dependent delays and different structures and the Euler-Maruyama method
• Backward Euler-Maruyama method applied to nonlinear hybrid stochastic differential equations with time-variable delay
• 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 improved stability analysis of the backward Euler method for neutral stochastic delay differential equations
• 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 and stability of backward Euler-Maruyama scheme for highly nonlinear hybrid stochastic differential delay equation
• Strong convergence rates of modified truncated EM methods for neutral stochastic differential delay equations

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