Stability of exponential Euler method for stochastic systems under Poisson white noise excitations

DOI10.1007/S10773-014-2177-7MaRDI QIDQ487453zbMATH OpenOpenAlexFDO

Authors Longsuo Li, Yu Zhang

Publication date 22 January 2015

Published in International Journal of Theoretical Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10773-014-2177-7

zbMATH Keywords

stochastic delay differential equationsquantum theoryPoisson white noiseexponential Euler method

Mathematics Subject Classification ID

Stability theory of functional-differential equations (34K20) Stochastic functional-differential equations (34K50) White noise theory (60H40)

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Cites work

• scientific article; zbMATH DE number 47670 (Why is no real title available?)
• scientific article; zbMATH DE number 796800 (Why is no real title available?)
• An algorithmic introduction to numerical simulation of stochastic differential equations
• Approximation of jump diffusions in finance and economics
• Asymptotic Stability of a Jump-Diffusion Equation and Its Numerical Approximation
• Compensated stochastic theta methods for stochastic differential equations with jumps
• Convergence of numerical solutions to stochastic delay differential equations with jumps
• Numerical methods for nonlinear stochastic differential equations with jumps
• Numerical solutions of stochastic differential delay equations with jumps
• The semi-implicit Euler method for stochastic differential delay equation with jumps

Cited in

(2)

• Delay dependent asymptotic mean square stability analysis of the stochastic exponential Euler method
• scientific article; zbMATH DE number 7366853 (Why is no real title available?)

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