Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation

DOI10.1016/J.CAM.2004.01.040zbMATH Open1059.65006OpenAlexW2033096483WikidataQ115359895 ScholiaQ115359895MaRDI QIDQ596201FDOQ596201

Zhencheng Fan, Wanrong Cao, M. Z. Liu

Publication date: 10 August 2004

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2004.01.040

zbMATH Keywords

numerical resultsmean square stabilitystochastic differential delay equationssemi-implicit Euler method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Stability and convergence of numerical methods for ordinary differential equations (65L20)

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Cited In (78)

• Equivalence of \(p\)th moment stability between stochastic differential delay equations and their numerical methods
• A modified Milstein scheme for approximation of stochastic delay differential equations with constant time lag
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• Almost sure exponential stability of numerical solutions for stochastic delay differential equations with jumps
• Strong convergence of the split-step theta method for stochastic delay differential equations with nonglobally Lipschitz continuous coefficients
• Stability of analytical and numerical solutions of nonlinear stochastic delay differential equations
• Stability of stochasticθ-methods for stochastic delay integro-differential equations
• Stability of analytical and numerical solutions for nonlinear stochastic delay differential equations with jumps
• Mean-square dissipative methods for stochastic age-dependent capital system with fractional Brownian motion and jumps
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• Numerical approximation of stochastic differential delay equation with coefficients of polynomial growth
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• Using waveform relaxation methods to approximate neutral stochastic functional differential equation systems
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• Split-step \({\theta}\)-method for stochastic delay differential equations
• Strong convergence of the split-step backward Euler method for stochastic delay differential equations with a nonlinear diffusion coefficient
• Preserving exponential mean square stability and decay rates in two classes of theta approximations of stochastic differential equations
• Mean square stability of two classes of theta method for neutral stochastic differential delay equations
• On the convergence analysis of the inexact linearly implicit Euler scheme for a class of stochastic partial differential equations
• Discrete element study of granular material -- bumpy wall interface behavior
• A derivative-free explicit method with order 1.0 for solving stochastic delay differential equations
• Existence and uniqueness of the solutions and convergence of semi-implicit Euler methods for stochastic pantograph equations
• Almost surely asymptotic stability of numerical solutions for neutral stochastic delay differential equations
• Convergence and stability of the split-step backward Euler method for linear stochastic delay integro-differential equations
• Stability of the split-step backward Euler scheme for stochastic delay integro-differential equations with Markovian switching
• The semi-implicit Euler method for stochastic differential delay equation with jumps
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• Convergence and stability of the semi-tamed Euler scheme for stochastic differential equations with non-Lipschitz continuous coefficients
• On mean-square stability of two-step Maruyama methods for nonlinear neutral stochastic delay differential equations
• Mean square stability of two classes of theta methods for numerical computation and simulation of delayed stochastic Hopfield neural networks
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• Numerical approximation of nonlinear neutral stochastic functional differential equations
• Delay-dependent exponential stability of the backward Euler method for nonlinear stochastic delay differential equations
• \(T\)-stability of the split-step \(\theta\)-methods for linear stochastic delay integro-differential equations
• Convergence and stability of a numerical method for nonlinear stochastic pantograph equations
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• The Partially Truncated Euler–Maruyama Method for Highly Nonlinear Stochastic Delay Differential Equations with Markovian Switching
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• Mean square stability of semi-implicit Euler method for linear stochastic differential equations with multiple delays and Markovian switching
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• The improved split-step backward Euler method for stochastic differential delay equations
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• Strong convergence and stability of backward Euler-Maruyama scheme for highly nonlinear hybrid stochastic differential delay equation
• On mean square stability and dissipativity of split-step theta method for nonlinear neutral stochastic delay differential equations
• Convergence and stability of split-step θ methods for stochastic variable delay differential equations
• The split-step backward Euler method for linear stochastic delay differential equations
• Mean-square stability of Milstein method for linear hybrid stochastic delay integro-differential equations
• T-stability of numerical solutions for linear stochastic differential equations with delay
• Delay-dependent stability of predictor-corrector methods of Runge-Kutta type for stochastic delay differential equations
• Theoretical and numerical analysis of the Euler-Maruyama method for generalized stochastic Volterra integro-differential equations
• Multiscale modelling and splitting approaches for fluids composed of Coulomb-interacting particles
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