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

DOI10.1016/J.AMC.2013.08.021MaRDI QIDQ907549zbMATH OpenOpenAlexWikidataFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 5812047 (Why is no real title available?)
• scientific article; zbMATH DE number 1054336 (Why is no real title available?)
• scientific article; zbMATH DE number 834475 (Why is no real title available?)
• A note on convergence of semi-implicit Euler methods for stochastic pantograph equations
• A note on the balanced method
• Asymptotic Stability of a Jump-Diffusion Equation and Its Numerical Approximation
• Balanced Implicit Methods for Stiff Stochastic Systems
• Continuous \(\Theta\)-methods for the stochastic pantograph equation
• 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
• Mean-square convergence and stability of the balanced method for stochastic delay differential equations
• Numerical solutions of stochastic differential equations -- implementation and stability issues
• Split-step backward balanced Milstein methods for stiff stochastic systems
• Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
• The \(\alpha \)th moment stability for the stochastic pantograph equation
• The asymptotically mean square stability of the linear stochastic pantograph equation

Cited in

(11)

• Numerical simulations of stochastic differential equations with multiple conserved quantities by conservative methods
• Convergence and stability of the balanced methods for stochastic differential equations with jumps
• 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
• Convergence and stability of exponential integrators for semi-linear stochastic pantograph integro-differential equations with jump
• Convergence and stability of the balanced Euler method for stochastic pantograph differential equations with Markovian switching
• The parallel waveform relaxation stochastic Runge-Kutta method for stochastic differential equations
• Implicit numerical solutions for solving stochastic differential equations with jumps
• Numerical analysis of the balanced methods for stochastic Volterra integro-differential equations
• 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

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