Almost sure exponential stability of numerical solutions for stochastic delay differential equations

DOI10.1007/S00211-010-0294-7zbMATH Open1193.65009OpenAlexW2095644750MaRDI QIDQ981648FDOQ981648

Authors: Fuke Wu, Xuerong Mao, Lukasz Szpruch 

Publication date: 2 July 2010

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://strathprints.strath.ac.uk/29104/

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Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (only showing first 100 items - show all)

• Equivalence of \(p\)th moment stability between stochastic differential delay equations and their numerical methods
• Equivalence of stability among stochastic differential equations, stochastic differential delay equations, and their corresponding Euler-Maruyama methods
• Split-step theta method for stochastic delay integro-differential equations with mean square exponential stability
• Almost sure exponential stability of numerical solutions for stochastic delay differential equations with jumps
• Stability of analytical and numerical solutions of nonlinear stochastic delay differential equations
• A note on Euler approximations for stochastic differential equations with delay
• The partially truncated Euler-Maruyama method for nonlinear pantograph stochastic differential equations
• The existence and asymptotic estimations of solutions to stochastic pantograph equations with diffusion and Lévy jumps
• Strong convergence and stability of the split-step theta method for highly nonlinear neutral stochastic delay integro differential equation
• Almost sure exponential stability of the backward Euler-Maruyama discretization for highly nonlinear stochastic functional differential equation
• Existence, uniqueness, almost sure polynomial stability of solution to a class of highly nonlinear pantograph stochastic differential equations and the Euler-Maruyama approximation
• Almost sure exponential stability of stochastic differential delay equations
• A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems
• Preserving exponential mean square stability and decay rates in two classes of theta approximations of stochastic differential equations
• Implicit numerical methods for highly nonlinear neutral stochastic differential equations with time-dependent delay
• Almost sure exponential stability of an explicit stochastic orthogonal Runge-Kutta-Chebyshev method for stochastic delay differential equations
• Asymptotic exponential stability of modified truncated EM method for neutral stochastic differential delay equations
• Strong convergence and almost sure exponential stability of balanced numerical approximations to stochastic delay Hopfield neural networks
• Exponential stability of the exact and numerical solutions for neutral stochastic delay differential equations
• Exponential stability of the exact solutions and \(\theta\)-EM approximations to neutral SDDEs with Markov switching
• Almost surely asymptotic stability of exact and numerical solutions for neutral stochastic pantograph equations
• Almost surely asymptotic stability of numerical solutions for neutral stochastic delay differential equations
• Asymptotic moment boundedness of the stochastic theta method and its application for stochastic differential equations
• Almost sure exponential stability of the backward Euler-Maruyama scheme for stochastic delay differential equations with monotone-type condition
• Almost sure exponential stability of the \(\theta\)-method for stochastic differential equations
• Numerical stationary distribution and its convergence for nonlinear stochastic differential equations
• Stability of a class of neutral stochastic differential equations with unbounded delay and Markovian switching and the Euler-Maruyama method
• Almost sure exponential stability of the Euler-Maruyama approximations for stochastic functional differential equations
• Convergence and almost sure polynomial stability of the backward and forward-backward Euler methods for highly nonlinear pantograph stochastic differential equations
• Almost sure stability of stochastic theta methods with random variable stepsize for stochastic differential equations
• Almost sure exponential stability of stochastic differential delay equations
• On stability of solutions of stochastic delay differential equations
• Asymptotic mean-square stability of explicit Runge-Kutta Maruyama methods for stochastic delay differential equations
• Almost sure exponential stability of solutions to highly nonlinear neutral stochastic differential equations with time-dependent delay and the Euler-Maruyama approximation
• Almost surely exponential stability of numerical solutions for stochastic pantograph equations
• Almost sure stability with general decay rate of exact and numerical solutions for stochastic pantograph differential equations
• Strong convergence and asymptotic stability of explicit numerical schemes for nonlinear stochastic differential equations
• A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise
• Convergence and asymptotic stability of an explicit numerical method for non-autonomous stochastic differential equations
• Choice of \({\theta}\) and mean-square exponential stability in the stochastic theta method of stochastic differential equations
• Mean square stability and dissipativity of two classes of theta methods for systems of stochastic delay differential equations
• Mean-square stability of the backward Euler-Maruyama method for neutral stochastic delay differential equations with jumps
• Mean-square exponential stability of stochastic theta methods for nonlinear stochastic delay integro-differential equations
• Existence, uniqueness and almost surely asymptotic estimations of the solutions to neutral stochastic functional differential equations driven by pure jumps
• Exponential mean square stability of the theta approximations for neutral stochastic differential delay equations
• Convergence and almost sure exponential stability of implicit numerical methods for a class of highly nonlinear neutral stochastic differential equations with constant delay
• Polynomial stability of exact solution and a numerical method for stochastic differential equations with time-dependent delay
• $V$-integrability, asymptotic stability and comparison property of explicit numerical schemes for non-linear SDEs
• Choice of \(\theta\) and its effects on stability in the stochastic \(\theta\)-method of stochastic delay differential equations
• Stability and stochastic stabilization of numerical solutions of regime-switching jump diffusion systems
• Delay-dependent exponential stability of the backward Euler method for nonlinear stochastic delay differential equations
• Numerical method of highly nonlinear and nonautonomous neutral stochastic differential delay equations with Markovian switching
• Razumikhin-type theorems on the moment stability of the exact and numerical solutions for the stochastic pantograph differential equations
• Almost sure and mean square exponential stability of numerical solutions for neutral stochastic functional differential equations
• The improved stability analysis of the backward Euler method for neutral stochastic delay differential equations
• Compensated stochastic theta methods for stochastic differential delay equations with jumps
• Almost sure exponential stability of the Milstein-type schemes for stochastic delay differential equations
• Convergence and stability of the split-step \(\theta\)-Milstein method for stochastic delay Hopfield neural networks
• Almost sure exponential stability of implicit numerical solution for stochastic functional differential equation with extended polynomial growth condition
• Delay-dependent stability analysis of numerical methods for stochastic delay differential equations
• Convergence and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments
• Almost sure stability of the Euler-Maruyama method with random variable stepsize for stochastic differential equations
• Asymptotic moment boundedness of the numerical solutions of stochastic differential equations
• Almost sure exponential stability of semi-Euler numerical scheme for nonlinear stochastic functional differential equation
• Almost sure exponential stability of numerical solutions to stochastic delay Hopfield neural networks
• Exponential stability of numerical solution to neutral stochastic functional differential equation
• Strong convergence and stability of backward Euler-Maruyama scheme for highly nonlinear hybrid stochastic differential delay equation
• Approximate solutions of hybrid stochastic pantograph equations with Levy jumps
• T-stability of numerical solutions for linear stochastic differential equations with delay
• The semimartingale approach to almost sure stability analysis of a two-stage numerical method for stochastic delay differential equation
• On strong convergence of explicit numerical methods for stochastic delay differential equations under non-global Lipschitz conditions
• Numerical approximation of stochastic differential delay equation with coefficients of polynomial growth
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• Convergence and stability of the one-leg \(\theta\) method for stochastic differential equations with piecewise continuous arguments
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• The asymptotic behavior of solutions for stochastic evolution equations with pantograph delay
• The convergence of a numerical scheme for additive fractional stochastic delay equations with \(H>\frac 12\)
• \(p\)th moment \((p \in (0, 1))\) and almost sure exponential stability of the exact solutions and modified truncated EM method for stochastic differential equations
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• Hybrid stochastic functional differential equations with infinite delay: approximations and numerics
• Delay dependent asymptotic mean square stability analysis of the stochastic exponential Euler method
• The strong convergence and stability of explicit approximations for nonlinear stochastic delay differential equations
• Stationary distribution of the Milstein scheme for stochastic differential delay equations with first-order convergence
• Almost sure exponential stability of numerical solutions for stochastic pantograph differential equations
• The Partially Truncated Euler–Maruyama Method for Highly Nonlinear Stochastic Delay Differential Equations with Markovian Switching
• Strong and weak divergence of the backward Euler method for neutral stochastic differential equations with time-dependent delay
• Exponential mean-square stability of the \(\theta\)-method for neutral stochastic delay differential equations with jumps
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• Implicit numerical solutions to neutral-type stochastic systems with superlinearly growing coefficients
• Approximation of invariant measures of a class of backward Euler-Maruyama scheme for stochastic functional differential equations
• Lyapunov functions for almost sure exponential stability

Uses Software

• RODAS

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