Convergence of the semi-implicit Euler method for neutral stochastic delay differential equations with phase semi-Markovian switching

DOI10.1016/J.APM.2010.11.002zbMATH Open1217.65015OpenAlexW2061218760MaRDI QIDQ552463FDOQ552463

Authors: Baojian Yin, Zhonghua Ma 

Publication date: 21 July 2011

Published in: Applied Mathematical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apm.2010.11.002

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zbMATH Keywords

numerical analysisneutral stochastic delay differential equationsphase semi-Markovian switchingsemi-implicit Euler-Maruyama method

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Continuous-time Markov processes on discrete state spaces (60J27) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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Cited In (18)

• Strong convergence rate of the stochastic theta method for nonlinear hybrid stochastic differential equations with piecewise continuous arguments
• Convergence and asymptotical stability of numerical solutions for neutral stochastic delay differential equations driven by \(G\)-Brownian motion
• Convergence of numerical solutions to stochastic differential equations with Markovian switching
• Stabilisation and \(H_\infty\) control of neutral stochastic delay Markovian jump systems
• Implicit numerical methods for neutral stochastic differential equations with unbounded delay and Markovian switching
• The existence and uniqueness of mild solutions to stochastic differential equations with Lévy noise
• Exponential stability of the exact and numerical solutions for neutral stochastic delay differential equations
• Almost surely asymptotic stability of exact and numerical solutions for neutral stochastic pantograph equations
• Almost surely asymptotic stability of numerical solutions for neutral stochastic delay differential equations
• An implicit method for some NSDDEs of Itô's form
• Global exponential stability for multi-group neutral delayed systems based on Razumikhin method and graph theory
• A particle swarm optimization-based method for numerically solving ordinary differential equations
• Razumikhin-type theorem and mean square asymptotic behavior of the backward Euler method for neutral stochastic pantograph equations
• Almost sure and mean square exponential stability of numerical solutions for neutral stochastic functional differential equations
• Mean square stability of semi-implicit Euler method for linear stochastic differential equations with multiple delays and Markovian switching
• Convergence analysis of semi-implicit Euler method for nonlinear stochastic delay differential equations of neutral type
• On mean square stability and dissipativity of split-step theta method for nonlinear neutral stochastic delay differential equations
• Strong convergence rates of modified truncated EM methods for neutral stochastic differential delay equations

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