Numerical analysis of the balanced implicit methods for stochastic pantograph equations with jumps

DOI10.1016/j.amc.2013.08.021zbMath1329.65016WikidataQ112880126 ScholiaQ112880126MaRDI QIDQ907549

Lin Hu, Si-qing Gan

Publication date: 25 January 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2013.08.021

zbMATH Keywords

convergence; mean-square stability; jump; stochastic pantograph equation; balanced implicit method

Mathematics Subject Classification ID

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

Related Items

Numerical Simulations of Stochastic Differential Equations with Multiple Conserved Quantities by Conservative Methods, Stochastic stability for pantograph multi-group models with dispersal and stochastic perturbation, Convergence and non-negativity preserving of the solution of balanced method for the delay CIR model with jump, Implicit numerical solutions for solving stochastic differential equations with jumps, The parallel waveform relaxation stochastic Runge-Kutta method for stochastic differential equations, Convergence and stability of exponential integrators for semi-linear stochastic pantograph integro-differential equations with jump, Numerical analysis of split-step \(\theta\) methods with truncated Wiener process for a stochastic SIS epidemic model, Numerical analysis of the balanced methods for stochastic Volterra integro-differential equations

Cites Work

• The \(\alpha \)th moment stability for the stochastic pantograph equation
• Existence and uniqueness of the solutions and convergence of semi-implicit Euler methods for stochastic pantograph equations
• A note on the balanced method
• A note on convergence of semi-implicit Euler methods for stochastic pantograph equations
• Split-step backward balanced Milstein methods for stiff stochastic systems
• Continuous \(\Theta\)-methods for the stochastic pantograph equation
• Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Numerical solutions of stochastic differential equations -- implementation and stability issues
• Asymptotic Stability of a Jump-Diffusion Equation and Its Numerical Approximation
• Balanced Implicit Methods for Stiff Stochastic Systems
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