On L^p-stability of numerical schemes for linear stochastic delay differential equations

MaRDI QIDQ5395000zbMATHFDO

Authors Hagen Gilsing

Publication date 1 November 2006

zbMATH Keywords

asymptotic behaviourasymptotic stabilitystochastic linear recurrence relations

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)

Recommendations

• Delay-dependent stability analysis of numerical methods for stochastic delay differential equations
• Equivalence of \(p\)th moment stability between stochastic differential delay equations and their numerical methods
• Stability of stochastic \(\theta \)-methods for stochastic delay integro-differential equations
• Exponential stability in \(p\)-th mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations
• Strong Predictor-Corrector Approximation for Stochastic Delay Differential Equations

Cited in

(3)

• Equivalence of \(p\)th moment stability between stochastic differential delay equations and their numerical methods
• The semimartingale approach to almost sure stability analysis of a two-stage numerical method for stochastic delay differential equation
• T-stability of numerical solutions for linear stochastic differential equations with delay

This page was built for publication: On \({\mathcal L}^p\)-stability of numerical schemes for linear stochastic delay differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5395000)