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

DOI10.1016/J.AMC.2013.08.021zbMATH Open1329.65016OpenAlexW2001996109WikidataQ112880126 ScholiaQ112880126MaRDI QIDQ907549FDOQ907549

Authors: Lin Hu, Siqing 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

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• Convergence and stability of the balanced methods for stochastic differential equations with jumps
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zbMATH Keywords

convergencemean-square stabilityjumpstochastic pantograph equationbalanced implicit method

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• Title not available (Why is that?)
• Split-step backward balanced Milstein methods for stiff stochastic systems
• Continuous \(\Theta\)-methods for the stochastic pantograph equation
• Numerical solutions of stochastic differential equations -- implementation and stability issues
• Mean-square convergence and stability of the balanced method for stochastic delay differential equations
• Balanced Implicit Methods for Stiff Stochastic Systems
• Convergence and stability of implicit methods for jump-diffusion systems
• Existence and uniqueness of the solutions and convergence of semi-implicit Euler methods for stochastic pantograph equations
• A note on the balanced method
• Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Title not available (Why is that?)
• A note on convergence of semi-implicit Euler methods for stochastic pantograph equations
• The \(\alpha \)th moment stability for the stochastic pantograph equation
• Asymptotic Stability of a Jump-Diffusion Equation and Its Numerical Approximation
• The asymptotically mean square stability of the linear stochastic pantograph equation
• Title not available (Why is that?)

Cited In (11)

• Convergence and stability of the balanced methods for stochastic differential equations with jumps
• Implicit numerical solutions for solving stochastic differential equations with jumps
• Numerical simulations of stochastic differential equations with multiple conserved quantities by conservative methods
• Convergence and non-negativity preserving of the solution of balanced method for the delay CIR model with jump
• Numerical analysis of the balanced methods for stochastic Volterra integro-differential equations
• Stochastic stability for pantograph multi-group models with dispersal and stochastic perturbation
• Strong predictor-corrector methods for stochastic pantograph equations
• Numerical analysis of split-step \(\theta\) methods with truncated Wiener process for a stochastic SIS epidemic model
• The parallel waveform relaxation stochastic Runge-Kutta method for stochastic differential equations
• Convergence and stability of the balanced Euler method for stochastic pantograph differential equations with Markovian switching
• Convergence and stability of exponential integrators for semi-linear stochastic pantograph integro-differential equations with jump

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