Stability of the split-step backward Euler scheme for stochastic delay integro-differential equations with Markovian switching

DOI10.1016/J.CNSNS.2010.04.034MaRDI QIDQ718385zbMATH OpenOpenAlexFDO

Authors Feng Jiang, Yi Shen, Junhao Hu

Publication date 23 September 2011

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cnsns.2010.04.034

zbMATH Keywords

stochastic delay integro-differential equationsgeneral mean-square stablemean-square stablesplit-step backward Euler scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Continuous-time Markov processes on discrete state spaces (60J27) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• AMERICAN OPTIONS WITH REGIME SWITCHING
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• Closed-Form Solutions for Perpetual American Put Options with Regime Switching
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• Convergence and stability of the semi-implicit Euler method for linear stochastic delay integro-differential equations
• Exponential stability of equidistant Euler-Maruyama approximations of stochastic differential delay equations
• Mean square stability of semi-implicit Euler method for linear stochastic differential equations with multiple delays and Markovian switching
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Mean-square stability of Milstein method for linear hybrid stochastic delay integro-differential equations
• Numerical methods for nonlinear stochastic differential equations with jumps
• Population dynamical behavior of Lotka-Volterra system under regime switching
• Stochastic Differential Equations with Markovian Switching
• Stochastic differential equations and applications.
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• The split-step backward Euler method for linear stochastic delay differential equations

Cited in

(17)

• \(T\)-stability of the split-step \(\theta\)-methods for linear stochastic delay integro-differential equations
• Analytic approximation of the solutions of stochastic differential delay equations with Poisson jump and Markovian switching
• Strong Convergence of the Euler-Maruyama Method for a Class of Stochastic Volterra Integral Equations
• Stability of highly nonlinear hybrid stochastic integro-differential delay equations
• Mean-square exponential stability of stochastic theta methods for nonlinear stochastic delay integro-differential equations
• Split-step theta method for stochastic delay integro-differential equations with mean square exponential stability
• Convergence and mean-square stability of exponential Euler method for semi-linear stochastic delay integro-differential equations
• Convergence and stability of the split-step backward Euler method for linear stochastic delay integro-differential equations
• Numerical schemes for stochastic differential equations with variable and distributed delays: the interpolation approach
• Convergence and stability of exponential integrators for semi-linear stochastic variable delay integro-differential equations
• A note on stability of the split-step backward Euler method for linear stochastic delay integro-differential equations
• On mean square stability and dissipativity of split-step theta method for nonlinear neutral stochastic delay differential equations
• Strong convergence and stability of the split-step theta method for highly nonlinear neutral stochastic delay integro differential equation
• The split-step \(\theta \)-methods for stochastic delay Hopfield neural networks
• Exponential mean-square stability of numerical solutions for stochastic delay integro-differential equations with Poisson jump
• Split-step \(\theta\)-methods for stochastic age-dependent population equations with Markovian switching
• An explicit approximation for super-linear stochastic functional differential equations

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