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

MaRDI QIDQ5395000zbMATH OpenFDO

Authors Hagen Gilsing

Publication date 1 November 2006

zbMATH Keywords

asymptotic behaviourasymptotic stabilitystochastic linear recurrence relations

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for initial value problems involving ordinary differential equations (65L05) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Recommendations

• Delay-dependent stability analysis of numerical methods for stochastic delay differential equations
• Equivalence of pth moment stability between stochastic differential delay equations and their numerical methods
• Stability of stochastic -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)

• 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
• Equivalence of pth moment stability between stochastic differential delay equations and their numerical methods

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