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

DOI10.1016/j.apm.2010.11.002zbMath1217.65015MaRDI QIDQ552463

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

zbMATH Keywords

numerical analysis; neutral stochastic delay differential equations; phase semi-Markovian switching; semi-implicit Euler-Maruyama method

Mathematics Subject Classification ID

34K50: Stochastic functional-differential equations

65C30: Numerical solutions to stochastic differential and integral equations

60J27: Continuous-time Markov processes on discrete state spaces

Related Items

Stabilisation and H_∞ control of neutral stochastic delay Markovian jump systems, Almost sure and mean square exponential stability of numerical solutions for neutral stochastic functional 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, On mean square stability and dissipativity of split-step theta method for nonlinear neutral stochastic delay differential equations, Razumikhin-type theorem and mean square asymptotic behavior of the backward Euler method for neutral stochastic pantograph equations

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