Strong convergence and stability of backward Euler-Maruyama scheme for highly nonlinear hybrid stochastic differential delay equation
From MaRDI portal
(Redirected from Publication:895655)
moment boundednessnumerical examplestrong convergencealmost sure exponential stabilitybackward Euler-Maruyama methodMarkovian switchingpolynomial growth conditionstochastic differential delay equationdiscrete semi-martingale convergence theorem
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)
Recommendations
- Backward Euler-Maruyama method applied to nonlinear hybrid stochastic differential equations with time-variable delay
- Almost sure exponential stability of the backward Euler-Maruyama scheme for stochastic delay differential equations with monotone-type condition
- Convergence and almost sure exponential stability of implicit numerical methods for a class of highly nonlinear neutral stochastic differential equations with constant delay
- Numerical method of highly nonlinear and nonautonomous neutral stochastic differential delay equations with Markovian switching
- Implicit numerical methods for neutral stochastic differential equations with unbounded delay and Markovian switching
Cites work
- scientific article; zbMATH DE number 44889 (Why is no real title available?)
- scientific article; zbMATH DE number 51537 (Why is no real title available?)
- Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations
- Almost sure and moment exponential stability of Euler-Maruyama discretizations for hybrid stochastic differential equations
- Almost sure asymptotic estimations for solutions of stochastic differential delay equations
- Almost sure exponential stability of backward Euler-Maruyama discretizations for hybrid stochastic differential equations
- Almost sure exponential stability of numerical solutions for stochastic delay differential equations
- Asymptotic Stability of a Jump-Diffusion Equation and Its Numerical Approximation
- Asymptotic stability of balanced methods for stochastic jump-diffusion differential equations
- Balanced Implicit Methods for Stiff Stochastic Systems
- Convergence and stability of numerical solutions to SDDEs with Markovian switching
- Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation
- Convergence of numerical solutions to neutral stochastic delay differential equations with Markovian switching
- Delay-dependent stabilization of stochastic interval delay systems with nonlinear disturbances
- Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
- Exponential stability in \(p\)-th mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations
- Exponential stability of equidistant Euler-Maruyama approximations of stochastic differential delay equations
- Highly nonlinear neutral stochastic differential equations with time-dependent delay and the Euler-Maruyama method
- Input-to-state stability for discrete time-delay systems via the Razumikhin technique
- Mean-Square and Asymptotic Stability of the Stochastic Theta Method
- New Delay-Dependent Stability Criteria and Stabilizing Method for Neutral Systems
- New criteria on exponential stability of neutral stochastic differential delay equations
- Non-exponential stability and decay rates in nonlinear stochastic difference equations with unbounded noise
- Numerical approximation of nonlinear neutral stochastic functional differential equations
- Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
- Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions
- Preserving exponential mean-square stability in the simulation of hybrid stochastic differential equations
- Robust H/sub /spl infin// filtering for stochastic time-delay systems with missing measurements
- SMC design for robust \(H^{\infty}\) control of uncertain stochastic delay systems
- Stochastic Kolmogorov-type population dynamics with infinite distributed delays
- Stochastic delay Lotka--Volterra model
- Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
- Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
- Strong convergence rates for backward Euler-Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
- The improved LaSalle-type theorems for stochastic differential delay equations
Cited in
(21)- Explicit approximations for nonlinear switching diffusion systems in finite and infinite horizons
- Numerical approximation of stochastic differential delay equation with coefficients of polynomial growth
- The stochastic \(\theta\) method for stationary distribution of stochastic differential equations with Markovian switching
- Tamed-Euler method for nonlinear switching diffusion systems with locally Hölder diffusion coefficients
- The numerical invariant measure of stochastic differential equations with Markovian switching
- Strong convergence of the tamed Euler method for nonlinear hybrid stochastic differential equations with piecewise continuous arguments
- Exponential stability of numerical solution to neutral stochastic functional differential equation
- Almost sure exponential stability of backward Euler-Maruyama discretizations for hybrid stochastic differential equations
- Numerical solution to highly nonlinear neutral-type stochastic differential equation
- The Partially Truncated Euler–Maruyama Method for Highly Nonlinear Stochastic Delay Differential Equations with Markovian Switching
- The truncated Milstein method for super-linear stochastic differential equations with Markovian switching
- The truncated Euler-Maruyama method for highly nonlinear stochastic differential equations with multiple time delays
- Strong convergence of the split-step theta method for neutral stochastic delay differential equations
- Implicit numerical solutions to neutral-type stochastic systems with superlinearly growing coefficients
- Strong convergence and stability of the split-step theta method for highly nonlinear neutral stochastic delay integro differential equation
- The backward Euler-Maruyama method for invariant measures of stochastic differential equations with super-linear coefficients
- Convergence and almost sure exponential stability of implicit numerical methods for a class of highly nonlinear neutral stochastic differential equations with constant delay
- Convergence and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments
- Backward Euler-Maruyama method applied to nonlinear hybrid stochastic differential equations with time-variable delay
- Convergence rate and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments
- Strong convergence of implicit numerical methods for nonlinear stochastic functional differential equations
This page was built for publication: Strong convergence and stability of backward Euler-Maruyama scheme for highly nonlinear hybrid stochastic differential delay equation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q895655)
