Some analytic approximations for neutral stochastic functional differential equations

DOI10.1016/J.AMC.2010.09.033zbMATH Open1208.60066OpenAlexW2059958703MaRDI QIDQ618045FDOQ618045

Marija Krstić, Maja Vasilova, Svetlana Janković

Publication date: 14 January 2011

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

Full work available at URL: https://doi.org/10.1016/j.amc.2010.09.033

zbMATH Keywords

approximate solutionsneutral stochastic functional differential equation\(Z\)-algorithmconvergence with probability one and in \(p\)th mean

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Numerical solutions to stochastic differential and integral equations (65C30) Random operators and equations (aspects of stochastic analysis) (60H25)

Cites Work

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• Stability of functional differential equations
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• On the \(p\)th moment exponential stability criteria of neutral stochastic functional differential equations
• Razumikhin-type exponential stability criteria of neutral stochastic functional differential equations
• The p-th moment exponential stability of neutral stochastic functional differential equations
• A class of functional equations of neutral type
• Razumikhin-Type Theorems on Exponential Stability of Neutral Stochastic Differential Equations
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• The rate of convergence for approximate solutions of stochastic differential equations

Cited In (8)

• On the approximations of solutions to neutral SDEs with Markovian switching and jumps under non-Lipschitz conditions
• Title not available (Why is that?)
• Second-order algorithm for simulating stochastic differential equations with white noises
• Stochastic impulsive fractional differential evolution equations with infinite delay
• Numerical approximation of nonlinear neutral stochastic functional differential equations
• Existence, uniqueness and almost surely asymptotic estimations of the solutions to neutral stochastic functional differential equations driven by pure jumps
• Exponential stability of neutral stochastic functional differential equations with two-time-scale Markovian switching
• Some analytic approximations for backward stochastic differential equations

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