Strong convergence and stability of backward Euler-Maruyama scheme for highly nonlinear hybrid stochastic differential delay equation

DOI10.1007/S10092-014-0124-XzbMATH Open1335.65013OpenAlexW1980894554WikidataQ115385382 ScholiaQ115385382MaRDI QIDQ895655FDOQ895655

Authors: Shaobo Zhou 

Publication date: 4 December 2015

Published in: Calcolo (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10092-014-0124-x

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zbMATH Keywords

moment boundednessnumerical examplestrong convergencealmost sure exponential stabilitybackward Euler-Maruyama methodMarkovian switchingpolynomial growth conditionstochastic differential delay equationdiscrete semi-martingale convergence theorem

Mathematics Subject Classification ID

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)

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Cited In (21)

• Tamed-Euler method for nonlinear switching diffusion systems with locally Hölder diffusion coefficients
• The backward Euler-Maruyama method for invariant measures of stochastic differential equations with super-linear coefficients
• Strong convergence and stability of the split-step theta method for highly nonlinear neutral stochastic delay integro differential equation
• Numerical approximation of stochastic differential delay equation with coefficients of polynomial growth
• Strong convergence of the tamed Euler method for nonlinear hybrid stochastic differential equations with piecewise continuous arguments
• Convergence rate and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments
• Almost sure exponential stability of backward Euler-Maruyama discretizations for hybrid stochastic differential equations
• The truncated Milstein method for super-linear stochastic differential equations with Markovian switching
• Backward Euler-Maruyama method applied to nonlinear hybrid stochastic differential equations with time-variable delay
• Strong convergence of implicit numerical methods for nonlinear stochastic functional differential equations
• Explicit approximations for nonlinear switching diffusion systems in finite and infinite horizons
• The stochastic \(\theta\) method for stationary distribution of stochastic differential equations with Markovian switching
• Strong convergence of the split-step theta method for neutral stochastic delay differential equations
• Convergence and almost sure exponential stability of implicit numerical methods for a class of highly nonlinear neutral stochastic differential equations with constant delay
• 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 Euler-Maruyama method for highly nonlinear stochastic differential equations with multiple time delays
• Convergence and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments
• Exponential stability of numerical solution to neutral stochastic functional differential equation
• Implicit numerical solutions to neutral-type stochastic systems with superlinearly growing coefficients
• The numerical invariant measure of stochastic differential equations with Markovian switching

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