Almost sure exponential stability of the Euler-Maruyama approximations for stochastic functional differential equations
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EM methodalmost sure stabilitystochastic functional differential equations (SFDEs)nonnegative semimartingale convergence theorem
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) Stability and convergence of numerical methods for ordinary differential equations (65L20)
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Cites work
- A note on the LaSalle-type theorems for stochastic differential delay equations
- Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations
- Almost sure and moment exponential stability of Euler-Maruyama discretizations for hybrid stochastic differential equations
- Almost sure asymptotic stability of drift-implicit -methods for bilinear ordinary stochastic differential equations in R^1
- Almost sure exponential stability of numerical solutions for stochastic delay differential equations
- Almost sure stability of some stochastic dynamical systems with memory
- Approximate solutions for a class of stochastic evolution equations with variable delays. II
- Exponential stability in \(p\)-th mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations
- Exponential stability of equidistant Euler-Maruyama approximations of stochastic differential delay equations
- Introduction to the numerical analysis of stochastic delay differential equations
- Khasminskii-Type Theorems for Stochastic Differential Delay Equations
- LaSalle-type theorems for stochastic differential delay equations
- Mean-Square and Asymptotic Stability of the Stochastic Theta Method
- Numerical Solutions of Neutral Stochastic Functional Differential Equations
- Numerical analysis of explicit one-step methods for stochastic delay differential equations
- Numerical solutions of stochastic differential equations -- implementation and stability issues
- On delay-dependent stability for vector nonlinear stochastic delay-difference equations with Volterra diffusion term
- Preservation of probabilistic laws through Euler methods for ornstein-uhlenbeck process
- Stability Analysis of Numerical Schemes for Stochastic Differential Equations
- Stochastic versions of the LaSalle theorem
- The improved LaSalle-type theorems for stochastic functional differential equations
Cited in
(25)- Approximate solutions of hybrid stochastic pantograph equations with Levy jumps
- The semimartingale approach to almost sure stability analysis of a two-stage numerical method for stochastic delay differential equation
- Discrete Razumikhin-type technique and stability of the Euler-Maruyama method to stochastic functional differential equations
- On stability of numerical solutions of neutral stochastic delay differential equations with time‐dependent delay
- Preserving asymptotic mean-square stability of stochastic theta scheme for systems of stochastic delay differential equations
- Complete backward Euler numerical scheme for general SFDEs with exponential stability under the polynomial growth condition
- Almost sure exponential stability of the backward Euler-Maruyama discretization for highly nonlinear stochastic functional differential equation
- Almost sure exponential stability of an explicit stochastic orthogonal Runge-Kutta-Chebyshev method for stochastic delay differential equations
- Stability analysis of split-step \(\theta \)-Milstein method for a class of \(n\)-dimensional stochastic differential equations
- Exponential stability of the exact and numerical solutions for neutral stochastic delay differential equations
- Convergence and stability of the one-leg \(\theta\) method for stochastic differential equations with piecewise continuous arguments
- On stability of solutions of stochastic delay differential equations
- An explicit approximation for super-linear stochastic functional differential equations
- Almost sure stability of stochastic theta methods with random variable stepsize for stochastic differential equations
- Numerical solution of stochastic state-dependent delay differential equations: convergence and stability
- Numerical analysis of linearly implicit methods for a stochastic SIS epidemic model
- Hybrid stochastic functional differential equations with infinite delay: approximations and numerics
- Almost sure and mean square exponential stability of numerical solutions for neutral stochastic functional differential equations
- Almost sure exponential stability of implicit numerical solution for stochastic functional differential equation with extended polynomial growth condition
- Almost sure stability of the Euler-Maruyama method with random variable stepsize for stochastic differential equations
- Impulsive stochastic functional differential equations with Markovian switching: study of exponential stability from a numerical solution point of view
- Almost sure exponential stability of semi-Euler numerical scheme for nonlinear stochastic functional differential equation
- Exponential stability of numerical solution to neutral stochastic functional differential equation
- The ⊝-Maruyama scheme for stochastic functional differential equations with distributed memory term *
- Approximation of invariant measures of a class of backward Euler-Maruyama scheme for stochastic functional differential equations
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