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

DOI10.1016/J.CNSNS.2010.04.034zbMATH Open1221.65016OpenAlexW1986378084MaRDI QIDQ718385FDOQ718385

Feng Jiang, Junhao Hu, Yi Shen

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

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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)

Cites Work

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

Cited In (15)

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

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