Some analytic approximations for neutral stochastic functional differential equations

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

Authors Svetlana Janković, Maja Vasilova, Marija Krstić

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)

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Cited in

(10)

• Numerical approximation of nonlinear neutral stochastic functional differential equations
• Second-order algorithm for simulating stochastic differential equations with white noises
• scientific article; zbMATH DE number 2073942 (Why is no real title available?)
• Existence, uniqueness and almost surely asymptotic estimations of the solutions to neutral stochastic functional differential equations driven by pure jumps
• Some analytic approximations for backward stochastic differential equations
• On the approximations of solutions to neutral SDEs with Markovian switching and jumps under non-Lipschitz conditions
• Trotter-Kato approximations of stochastic neutral partial functional differential equations
• Exponential stability of neutral stochastic functional differential equations with two-time-scale Markovian switching
• Approximation of non-Lipschitz SDEs by Picard iterations
• Stochastic impulsive fractional differential evolution equations with infinite delay

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