Convergence and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments

DOI10.1016/J.CAM.2016.11.033MaRDI QIDQ507963zbMATH OpenOpenAlexFDO

Authors Yong-Cai Geng, Sumit K. Garg

Publication date 9 February 2017

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2016.11.033

zbMATH Keywords

exponential mean square stabilitymonotone conditionconvergence of the SST methodsplit-step theta (SST) methodstochastic differential equations with piecewise continuous arguments

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Stability and convergence of numerical methods for ordinary differential equations (65L20)

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Cited in

(33)

• Convergence and stability of the Milstein scheme for stochastic differential equations with piecewise continuous arguments
• Stability of \(\theta \)-schemes for partial differential equations with piecewise constant arguments of alternately retarded and advanced type
• Strong convergence rate of the stochastic theta method for nonlinear hybrid stochastic differential equations with piecewise continuous arguments
• The truncated Euler-Maruyama method for stochastic differential equations with piecewise continuous arguments driven by Lévy noise
• Convergence and stability of the compensated split-step theta method for stochastic differential equations with piecewise continuous arguments driven by Poisson random measure
• Convergence rate and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments
• Exponential stability of the split-step \(\theta \)-method for neutral stochastic delay differential equations with jumps
• Efficient stochastic Runge-Kutta methods for stochastic differential equations with small noises
• Convergence and stability of split-step-theta methods for stochastic differential equations with jumps under non-global Lipschitz drift coefficient
• High-order split-step theta methods for non-autonomous stochastic differential equations with non-globally Lipschitz continuous coefficients
• Strong convergence and exponential stability of stochastic differential equations with piecewise continuous arguments for non-globally Lipschitz continuous coefficients
• A class of stochastic one-parameter methods for nonlinear SFDEs with piecewise continuous arguments
• Convergence and stability of the split-step \(\theta \)-method for stochastic differential equations
• Runge-Kutta methods for systems of differential equation with piecewise continuous arguments: convergence and stability
• Convergence and stability of stochastic theta method for nonlinear stochastic differential equations with piecewise continuous arguments
• Convergence and stability of the one-leg \(\theta\) method for stochastic differential equations with piecewise continuous arguments
• The Convergence of Truncated Euler-Maruyama Method for Stochastic Differential Equations with Piecewise Continuous Arguments Under Generalized One-Sided Lipschitz Condition
• Improving split-step forward methods by ODE solver for stiff stochastic differential equations
• Convergence and stability of an explicit method for nonlinear stochastic differential equations with piecewise continuous arguments
• Compensated split-step balanced methods for nonlinear stiff SDEs with jump-diffusion and piecewise continuous arguments
• Numerical analysis of split-step \(\theta\) methods with truncated Wiener process for a stochastic SIS epidemic model
• Convergence and stability of modified partially truncated Euler-Maruyama method for stochastic differential equations with piecewise continuous arguments
• Stability analysis of partial differential equations with piecewise constant arguments
• Stability of \(\theta \)-methods 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 and stability of split-step theta methods with variable step-size for stochastic pantograph differential equations
• Strong Convergence Analysis of Split-Step θ-Scheme for Nonlinear Stochastic Differential Equations with Jumps
• Convergence and stability of exponential Euler method for linear stochastic differential equations with variable delay
• The improved split-step θ methods for stochastic differential equation
• Almost sure exponential stability of semi-Euler numerical scheme for nonlinear stochastic functional differential equation
• Stochastic differential equation with piecewise continuous arguments: Markov property, invariant measure and numerical approximation
• Convergence and stability of exponential integrators for semi-linear stochastic pantograph integro-differential equations with jump
• Convergence and stability of split-step θ methods for stochastic variable delay differential equations

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