Split-step forward Euler methods for solving stochastic delay differential equations
asymptotical mean-square stabilityconvergencenumerical examplessplit-step Euler methodsstep-sizestochastic delay differential equations
Stochastic functional-differential equations (34K50) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Finite difference and finite volume methods for ordinary differential equations (65L12) Stability and convergence of numerical methods for ordinary differential equations (65L20) Mesh generation, refinement, and adaptive methods for ordinary differential equations (65L50)
- The split-step backward Euler method for linear stochastic delay differential equations
- Split-step \({\theta}\)-method for stochastic delay differential equations
- The improved split-step backward Euler method for stochastic differential delay equations
- Strong convergence of the split-step one-leg methods for stochastic differential equations
- Stability analysis of split-step forward Euler method for linear stochastic delay differential equations
- The split-step backward Euler method for linear stochastic delay differential equations
- Almost sure and \(L^p\) convergence of split-step backward Euler method for stochastic delay differential equation
- Introduction to the numerical analysis of stochastic delay differential equations
- Strong convergence of the split-step backward Euler method for stochastic delay differential equations with a nonlinear diffusion coefficient
- Numerical treatment of stochastic delay differential equations: a global error bound
- An adaptive weak continuous Euler-Maruyama method for stochastic delay differential equations
- Split-step \({\theta}\)-method for stochastic delay differential equations
- A derivative-free explicit method with order 1.0 for solving stochastic delay differential equations
- Numerical solution of stochastic state-dependent delay differential equations: convergence and stability
- Convergence of a split-step Milstein method for linear stochastic delay differential equations
- The improved split-step backward Euler method for stochastic differential delay equations
- Mean square convergence of the composite Euler method for a linear stochastic differential delay equation
- Stability analysis of split-step forward Euler method for linear stochastic delay differential equations
- T-stability of split-step backward Euler method for stochastic delay differential equations
- Stability of SST method for stochastic delay differential equations
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