Stability of exponential Euler method for stochastic systems under Poisson white noise excitations
From MaRDI portal
Publication:487453
DOI10.1007/s10773-014-2177-7zbMath1310.34106MaRDI QIDQ487453
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
quantum theory; exponential Euler method; stochastic delay differential equations; Poisson white noise
34K20: Stability theory of functional-differential equations
60H40: White noise theory
34K50: Stochastic functional-differential equations
Related Items
Delay dependent asymptotic mean square stability analysis of the stochastic exponential Euler method
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Compensated stochastic theta methods for stochastic differential equations with jumps
- The semi-implicit Euler method for stochastic differential delay equation with jumps
- Convergence of numerical solutions to stochastic delay differential equations with jumps
- Numerical methods for nonlinear stochastic differential equations with jumps
- Approximation of jump diffusions in finance and economics
- An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
- Asymptotic Stability of a Jump-Diffusion Equation and Its Numerical Approximation