-Maruyama methods for nonlinear stochastic differential delay equations

DOI10.1016/J.APNUM.2015.08.004zbMATH Open1329.65020OpenAlexW1122336660MaRDI QIDQ892706FDOQ892706

Authors: Desheng Wang, Xiaojie Wang, Siqing Gan 

Publication date: 11 November 2015

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

Full work available at URL: https://doi.org/10.1016/j.apnum.2015.08.004

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zbMATH Keywords

strong convergencemean-square stabilityexponential mean-square stability\(\theta\)-Maruyama methodsnonlinear stochastic differential delay equationsvariable lag

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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Cited In (22)

• Delay dependent stability of stochastic split-step \(\theta\) methods for stochastic delay differential equations
• Preserving asymptotic mean-square stability of stochastic theta scheme for systems of stochastic delay differential equations
• On strong convergence of explicit numerical methods for stochastic delay differential equations under non-global Lipschitz conditions
• S-ROCK methods for stochastic delay differential equations with one fixed delay
• Strong convergence of the split-step backward Euler method for stochastic delay differential equations with a nonlinear diffusion coefficient
• Stability analysis of split-step \(\theta \)-Milstein method for a class of \(n\)-dimensional stochastic differential equations
• Strong convergence of the semi-implicit Euler method for nonlinear stochastic Volterra integral equations with constant delay
• A class of stochastic one-parameter methods for nonlinear SFDEs with piecewise continuous arguments
• Computational scheme for solving nonlinear fractional stochastic differential equations with delay
• Asymptotical mean-square stability of linear \(\theta\)-methods for stochastic pantograph differential equations: variable stepsize and transformation approach
• The convergence of a numerical scheme for additive fractional stochastic delay equations with \(H>\frac 12\)
• An explicit approximation for super-linear stochastic functional differential equations
• Sufficient conditions for existence and uniqueness of fractional stochastic delay differential equations
• Asymptotic mean-square stability of explicit Runge-Kutta Maruyama methods for stochastic delay differential equations
• Multi-Step Maruyama Methods for Stochastic Delay Differential Equations
• Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients
• Mean-square exponential stability of stochastic theta methods for nonlinear stochastic delay integro-differential equations
• Delay dependent asymptotic mean square stability analysis of the stochastic exponential Euler method
• Two-step Maruyama schemes for nonlinear stochastic differential delay equations
• Projected Euler-Maruyama method for stochastic delay differential equations under a global monotonicity condition
• A novel collocation approach to solve a nonlinear stochastic differential equation of fractional order involving a constant delay
• Convergence and stability of split-step θ methods for stochastic variable delay differential equations

Uses Software

• RODAS

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