Mean-square stability of semi-implicit Euler methods for nonlinear stochastic delay differential equations

zbMATH Open1174.65306MaRDI QIDQ5318565FDOQ5318565

Authors: Wenqiang Wang, Shan Huang, Shoufu Li 

Publication date: 22 July 2009

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zbMATH Keywords

mean square stabilitynonlinear stochastic delay differential equationssemi-implicit Euler methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) 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) Numerical methods for initial value problems involving ordinary differential equations (65L05)

Cited In (13)

• Convergence and stability of Euler method for impulsive stochastic delay differential equations
• Title not available (Why is that?)
• Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation
• Full implicit Euler method for stochastic delay differential equations
• Mean-square stability of semi-implicit Euler method for nonlinear neutral stochastic delay differential equations
• Title not available (Why is that?)
• Title not available (Why is that?)
• Mean square stability and exponential stability of the semi-implicit derivative-free methods for solving stochastic differential equations
• Linear mean-square stability analysis of weak order 2.0 semi-implicit Taylor schemes for scalar stochastic differential equations
• Stability of the semi-implicit Euler method for a linear impulsive stochastic differential equation
• Mean square stability of semi-implicit Euler method for linear stochastic differential equations with multiple delays and Markovian switching
• Convergence and stability of the semi-implicit Euler method for linear stochastic delay integro-differential equations
• T-stability of the semi-implicit Euler method for delay differential equations with multiplicative noise

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