Multi-Step Maruyama Methods for Stochastic Delay Differential Equations

DOI10.1080/07362990701540311zbMath1132.60052OpenAlexW2084827643MaRDI QIDQ5421603

Evelyn Buckwar, Renate Winkler

Publication date: 24 October 2007

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: http://edoc.hu-berlin.de/18452/3239

zbMATH Keywords

strong convergencestochastic delay differential equationsItô formula for stochastic delay differential equationslinear multi-step Maruyama methods

Mathematics Subject Classification ID

Related Items (18)

On mean-square stability of two-step Maruyama methods for nonlinear neutral stochastic delay differential equations ⋮ Asymptotic mean square stability of predictor-corrector methods for stochastic delay ordinary and partial differential equations ⋮ Double-implicit and split two-step Milstein schemes for stochastic differential equations ⋮ Asymptotic mean-square stability of explicit Runge-Kutta Maruyama methods for stochastic delay differential equations ⋮ Delay dependent asymptotic mean square stability analysis of the stochastic exponential Euler method ⋮ Generalized seizures in a neural field model with bursting dynamics ⋮ Unnamed Item ⋮ Runge-Kutta methods for jump-diffusion differential equations ⋮ Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients ⋮ Numerical investigation of noise induced changes to the solution behaviour of the discrete FitzHugh-Nagumo equation ⋮ Utilizing Topological Data Analysis for Studying Signals of Time-Delay Systems ⋮ Delay dependent stability of stochastic split-step \(\theta\) methods for stochastic delay differential equations ⋮ Mean square stability and almost sure exponential stability of two step Maruyama methods of stochastic delay Hopfield neural networks ⋮ Two-step Maruyama schemes for nonlinear stochastic differential delay equations ⋮ The split-step backward Euler method for linear stochastic delay differential equations ⋮ Characterization of bistability for stochastic multistep methods ⋮ Exponential stability in \(p\)-th mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations ⋮ Convergence and stability of split-step theta methods with variable step-size for stochastic pantograph differential equations

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