Existence and uniqueness of the solutions and convergence of semi-implicit Euler methods for stochastic pantograph equations

DOI10.1016/j.jmaa.2006.02.063zbMath1107.60030OpenAlexW2088945003MaRDI QIDQ853991

Zhencheng Fan, Ming-Zhu Liu, Wan-Rong Cao

Publication date: 7 December 2006

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2006.02.063

zbMATH Keywords

convergence ratenumerical approximationstochastic delay differential equationdrift-implicit Euler methodnonlinear stochastic pantograph equationstochastic theta-methodstrong mean square convergence

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Stochastic functional-differential equations (34K50) Ordinary differential equations and systems with randomness (34F05) Generation, random and stochastic difference and differential equations (37H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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for stochastic pantograph differential equations

Cites Work

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• Predictor-Corrector Methods of Runge--Kutta Type for Stochastic Differential Equations
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