Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions

DOI10.1016/J.AMC.2010.12.023MaRDI QIDQ628907zbMATH OpenOpenAlexFDO

Authors Xuerong Mao

Publication date 8 March 2011

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

Full work available at URL https://doi.org/10.1016/j.amc.2010.12.023

zbMATH Keywords

convergencenumerical examplesBrownian motionstochastic differential delay equationEuler-Maruyama approximation schemeKhasminskii-type conditionsItô's formula

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

(55)

• Approximate solutions of hybrid stochastic pantograph equations with Levy jumps
• Numerical schemes for stochastic differential equations with variable and distributed delays: the interpolation approach
• Analysis of a stochastic predator-prey system with foraging arena scheme
• A note on Euler approximations for stochastic differential equations with delay
• The existence and asymptotic estimations of solutions to stochastic pantograph equations with diffusion and Lévy jumps
• On strong convergence of explicit numerical methods for stochastic delay differential equations under non-global Lipschitz conditions
• Numerical approximation of stochastic differential delay equation with coefficients of polynomial growth
• Advances in the truncated Euler-Maruyama method for stochastic differential delay equations
• Almost sure exponential stability of the backward Euler-Maruyama discretization for highly nonlinear stochastic functional differential equation
• Analysis on exponential stability of hybrid pantograph stochastic differential equations with highly nonlinear coefficients
• Existence, uniqueness, almost sure polynomial stability of solution to a class of highly nonlinear pantograph stochastic differential equations and the Euler-Maruyama approximation
• Numerical solutions of stochastic differential equations with piecewise continuous arguments under Khasminskii-type conditions
• Convergence rate of EM scheme for SDDEs
• Can protection zone potentially strengthen protective effects in random environments?
• Implicit numerical methods for highly nonlinear neutral stochastic differential equations with time-dependent delay
• Strong convergence of the partially truncated Euler-Maruyama method for a class of stochastic differential delay equations
• Implicit numerical methods for neutral stochastic differential equations with unbounded delay and Markovian switching
• Khasminskii-Type Theorems for Stochastic Differential Delay Equations
• Backward Euler-Maruyama method applied to nonlinear hybrid stochastic differential equations with time-variable delay
• Convergence and stability of exponential integrators for semi-linear stochastic variable delay integro-differential equations
• Convergence rate of the truncated Milstein method of stochastic differential delay equations
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• Numerical solutions of stochastic differential delay equations with Poisson random measure under the generalized Khasminskii-type conditions
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• Stochastic delay foraging arena predator-prey system with Markov switching
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• The truncated \(\theta \)-Milstein method for nonautonomous and highly nonlinear stochastic differential delay equations
• Numerical approximation of nonlinear neutral stochastic functional differential equations
• Convergence and almost sure exponential stability of implicit numerical methods for a class of highly nonlinear neutral stochastic differential equations with constant delay
• Stability and stabilization of nonlinear discrete-time stochastic systems
• Almost sure exponential stability of numerical solutions for stochastic pantograph differential equations
• The Partially Truncated Euler–Maruyama Method for Highly Nonlinear Stochastic Delay Differential Equations with Markovian Switching
• Existence and uniqueness of nonlinear hybrid stochastic differential delay equations under the generalized Khasminskii-type conditions
• Stochastic \(H_{2}/H_\infty\) control of nonlinear systems with time-delay and state-dependent noise
• Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
• Almost sure exponential stability of numerical solutions to stochastic delay Hopfield neural networks
• Almost sure exponential stability of semi-Euler numerical scheme for nonlinear stochastic functional differential equation
• Almost sure exponential stability of the \(\theta \)-Euler-Maruyama method, when \(\theta \in (\frac{1}{2},1)\), for neutral stochastic differential equations with time-dependent delay under nonlinear growth conditions
• Implicit numerical solutions to neutral-type stochastic systems with superlinearly growing coefficients
• Strong convergence and stability of backward Euler-Maruyama scheme for highly nonlinear hybrid stochastic differential delay equation
• Autonomous and non-autonomous modified Leslie-type stochastic predator-prey model with foraging arena scheme
• The truncated Euler-Maruyama method for stochastic differential delay equations

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