Strong convergence of the truncated Euler–Maruyama method for stochastic functional differential equations

DOI10.1080/00207160.2017.1395871MaRDI QIDQ5028587zbMATH OpenOpenAlexFDO

Authors

Publication date 10 February 2022

Published in International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207160.2017.1395871

zbMATH Keywords

Khasminskii-type conditionlocal Lipschitz conditionstochastic functional differential equationstrong convergencetruncated Euler-Maruyama method

Mathematics Subject Classification ID

Numerical methods for initial value problems involving ordinary differential equations (65L05) Finite element, Rayleigh-Ritz, Galerkin and collocation methods for ordinary differential equations (65L60)

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• Convergence and stability of the truncated Euler-Maruyama method for stochastic differential equations with piecewise continuous arguments
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• Strong convergence of the truncated Euler-Maruyama method for neutral stochastic differential delay equation
• Convergence rates of full-implicit truncated Euler-Maruyama method for stochastic differential equations
• Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients
• Strong Convergence of the Euler-Maruyama Method for a Class of Stochastic Volterra Integral Equations

Cites work

• Approximate solutions for a class of stochastic evolution equations with variable delays
• Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
• Exponential stability in mean square of neutral stochastic differential functional equations
• Generalised theory on asymptotic stability and boundedness of stochastic functional differential equations
• scientific article; zbMATH DE number 1252483 (Why is no real title available?)
• scientific article; zbMATH DE number 850216 (Why is no real title available?)
• Khasminskii-type theorems for stochastic functional differential equations
• Numerical Solutions of Stochastic Functional Differential Equations
• Random differential inequalities
• Stochastic differential delay equations of population dynamics
• Stochastic differential equations and applications.
• Stochastic Differential Equations with Markovian Switching
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems
• The truncated Euler-Maruyama method for stochastic differential equations

Cited in

(12)

• Exponential stabilization by delay feedback control for highly nonlinear hybrid stochastic functional differential equations with infinite delay
• Convergence rates of full-implicit truncated Euler-Maruyama method for stochastic differential equations
• A note on order of convergence of numerical method for neutral stochastic functional differential equations
• Numerical Solutions of Stochastic Functional Differential Equations
• Strong Convergence of the Euler-Maruyama Method for a Class of Stochastic Volterra Integral Equations
• The Convergence of Truncated Euler-Maruyama Method for Stochastic Differential Equations with Piecewise Continuous Arguments Under Generalized One-Sided Lipschitz Condition
• Hybrid stochastic functional differential equations with infinite delay: approximations and numerics
• Mean square stability for controlled hybrid neutral stochastic differential equations with infinite delay
• An explicit approximation for super-linear stochastic functional differential equations
• Strong convergence of explicit numerical schemes for stochastic differential equations with piecewise continuous arguments
• Convergence and stability of an explicit numerical method for stochastic differential equations with piecewise continuous arguments
• Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations

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