Mean-square stability of semi-implicit Euler method for nonlinear neutral stochastic delay differential equations

DOI10.1016/J.APNUM.2011.01.003zbMATH Open1210.65014OpenAlexW2087305278MaRDI QIDQ631930FDOQ631930

Authors: Wenqiang Wang, Yanping Chen 

Publication date: 14 March 2011

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2011.01.003

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zbMATH Keywords

numerical experimentnumerical stabilitymean-square stabilitysemi-implicit Euler methodnonlinear neutral stochastic delay differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Neutral functional-differential equations (34K40) Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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• Stability of functional differential equations
• Introduction to the numerical analysis of stochastic delay differential equations
• Exponential stability in \(p\)-th mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations
• Mean square convergence of one-step methods for neutral stochastic differential delay equations
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• MS-stability of the Euler--Maruyama method for stochastic differential delay equations
• Discrete-time approximations of stochastic delay equations: the Milstein scheme.
• The split-step backward Euler method for linear stochastic delay differential equations
• An analysis of stability of Milstein method for stochastic differential equations with delay
• A note on exponential stability in \(p\)th mean of solutions of stochastic delay differential equations
• Mean-square stability of Milstein method for linear hybrid stochastic delay integro-differential equations
• A modified Milstein scheme for approximation of stochastic delay differential equations with constant time lag

Cited In (35)

• Stability of analytical and numerical solutions of nonlinear stochastic delay differential equations
• Stability of analytical and numerical solutions for nonlinear stochastic delay differential equations with jumps
• Convergence and asymptotical stability of numerical solutions for neutral stochastic delay differential equations driven by \(G\)-Brownian motion
• Exponential stability of the split-step \(\theta \)-method for neutral stochastic delay differential equations with jumps
• Split-step \({\theta}\)-method for stochastic delay differential equations
• T-stability of the Heun method and balanced method for solving stochastic differential delay equations
• Mean square stability of two classes of theta method for neutral stochastic differential delay equations
• Convergence of the semi-implicit Euler method for neutral stochastic delay differential equations with phase semi-Markovian switching
• Asymptotic exponential stability of modified truncated EM method for neutral stochastic differential delay equations
• Exponential stability of the exact and numerical solutions for neutral stochastic delay differential equations
• Exponential stability of the exact solutions and \(\theta\)-EM approximations to neutral SDDEs with Markov switching
• Almost surely asymptotic stability of numerical solutions for neutral stochastic delay differential equations
• Mean-square stability of semi-implicit Euler methods for nonlinear stochastic delay differential equations
• Title not available (Why is that?)
• Title not available (Why is that?)
• An implicit method for some NSDDEs of Itô's form
• On mean-square stability of two-step Maruyama methods for nonlinear neutral stochastic delay differential equations
• Strong convergence of the split-step theta method for neutral stochastic delay differential equations
• Asymptotic mean‐square boundedness of the numerical solutions for stochastic complex‐valued neural networks with jumps
• Mean-square stability of the backward Euler-Maruyama method for neutral stochastic delay differential equations with jumps
• Existence, uniqueness and almost surely asymptotic estimations of the solutions to neutral stochastic functional differential equations driven by pure jumps
• \(p\)th moment \((p \in (0, 1))\) and almost sure exponential stability of the exact solutions and modified truncated EM method for stochastic differential equations
• Exponential mean square stability of the theta approximations for neutral stochastic differential delay equations
• Numerical solution to highly nonlinear neutral-type stochastic differential equation
• A robust weak Taylor approximation scheme for solutions of jump-diffusion stochastic delay differential equations
• Almost sure and mean square exponential stability of numerical solutions for neutral stochastic functional differential equations
• The improved stability analysis of the backward Euler method for neutral stochastic delay differential equations
• Mean square stability of semi-implicit Euler method for linear stochastic differential equations with multiple delays and Markovian switching
• Projected Euler-Maruyama method for stochastic delay differential equations under a global monotonicity condition
• Neutral stochastic functional differential equations with Lévy jumps under the local Lipschitz condition
• AMS-stability of the Euler-Maruyama method for linear neutral stochastic delay differential equations
• Exponential mean-square stability of the \(\theta\)-method for neutral stochastic delay differential equations with jumps
• Convergence analysis of semi-implicit Euler method for nonlinear stochastic delay differential equations of neutral type
• Mean-square stability of stochastic age-dependent delay population systems with jumps
• On mean square stability and dissipativity of split-step theta method for nonlinear neutral stochastic delay differential equations

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