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

DOI10.1080/00207160.2017.1395871zbMATH Open1499.65299OpenAlexW2766939755MaRDI QIDQ5028587FDOQ5028587

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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

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zbMATH Keywords

strong convergencelocal Lipschitz conditionstochastic functional differential equationKhasminskii-type conditiontruncated Euler-Maruyama method

Mathematics Subject Classification ID

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

Cites Work

• Stochastic differential delay equations of population dynamics
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• Random differential inequalities
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Numerical Solutions of Stochastic Functional Differential Equations
• Generalised theory on asymptotic stability and boundedness of stochastic functional differential equations
• Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems
• Exponential stability in mean square of neutral stochastic differential functional equations
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• The truncated Euler-Maruyama method for stochastic differential equations
• Khasminskii-type theorems for stochastic functional differential equations
• Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
• Approximate solutions for a class of stochastic evolution equations with variable delays

Cited In (12)

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

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