The improved split-step backward Euler method for stochastic differential delay equations

DOI10.1080/00207160.2010.538388MaRDI QIDQ3101629zbMATH OpenOpenAlexFDO

Authors Xiaojie Wang, Siqing Gan

Publication date 29 November 2011

Published in International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1107.0571

zbMATH Keywords

mean-square stabilityone-sided Lipschitz conditionsplit-step backward Euler methodstochastic differential delay equationsstrong convergence

Mathematics Subject Classification ID

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) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Abstract: A new, improved split-step backward Euler (SSBE) method is introduced and analyzed for stochastic differential delay equations(SDDEs) with generic variable delay. The method is proved to be convergent in mean-square sense under conditions (Assumption 3.1) that the diffusion coefficient $g(x,y)$ is globally Lipschitz in both $x$ and $y$, but the drift coefficient $f(x,y)$ satisfies one-sided Lipschitz condition in $x$ and globally Lipschitz in $y$. Further, exponential mean-square stability of the proposed method is investigated for SDDEs that have a negative one-sided Lipschitz constant. Our results show that the method has the unconditional stability property in the sense that it can well reproduce stability of underlying system, without any restrictions on stepsize $h$. Numerical experiments and comparisons with existing methods for SDDEs illustrate the computational efficiency of our method.

Recommendations

• Split-step forward Euler methods for solving stochastic delay differential equations
• Mean-square exponential stability of an improved split-step backward Euler method for stochastic delay integro-differential equations
• Analysis of stability for stochastic delay integro-differential equations
• The split-step backward Euler method for linear stochastic delay differential equations
• Split-step \({\theta}\)-method for stochastic delay differential equations

Cites work

• Compensated stochastic theta methods for stochastic differential equations with jumps
• Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation
• Existence and uniqueness of the solutions and convergence of semi-implicit Euler methods for stochastic pantograph equations
• Exponential stability in \(p\)-th mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations
• Exponential stability of equidistant Euler-Maruyama approximations of stochastic differential delay equations
• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 625166 (Why is no real title available?)
• scientific article; zbMATH DE number 1099342 (Why is no real title available?)
• scientific article; zbMATH DE number 940566 (Why is no real title available?)
• Numerical analysis of explicit one-step methods for stochastic delay differential equations
• Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients
• Numerical Methods for Delay Differential Equations
• Numerical methods for nonlinear stochastic differential equations with jumps
• Numerical methods for strong solutions of stochastic differential equations: an overview
• Numerical solutions of stochastic differential delay equations under local Lipschitz condition
• Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Stability of numerical methods for delay differential equations
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems
• The split-step backward Euler method for linear stochastic delay differential equations

Cited in

(45)

• Mean square stability of two classes of theta methods for numerical computation and simulation of delayed stochastic Hopfield neural networks
• Strong convergence of the split-step -method for stochastic age-dependent capital system with Poisson jumps and fractional Brownian motion
• Strong convergence of the split-step theta method for stochastic delay differential equations with nonglobally Lipschitz continuous coefficients
• Almost sure and \(L^p\) convergence of split-step backward Euler method for stochastic delay differential equation
• The semimartingale approach to almost sure stability analysis of a two-stage numerical method for stochastic delay differential equation
• Exponential stability of the split-step \(\theta \)-method for neutral stochastic delay differential equations with jumps
• Strong convergence of the split-step theta method for neutral stochastic delay differential equations
• The strong convergence and stability of explicit approximations for nonlinear stochastic delay differential equations
• The truncated \(\theta \)-Milstein method for nonautonomous and highly nonlinear stochastic differential delay equations
• Strong convergence and stability of the split-step theta method for highly nonlinear neutral stochastic delay integro differential equation
• Strong convergence of the split-step backward Euler method for stochastic delay differential equations with a nonlinear diffusion coefficient
• Mean square polynomial stability of numerical solutions to a class of stochastic differential equations
• Mean square stability and dissipativity of two classes of theta methods for systems of stochastic delay differential equations
• Exponential mean square stability of the theta approximations for neutral stochastic differential delay equations
• Numerical approximation of stochastic differential delay equation with coefficients of polynomial growth
• Split-step \({\theta}\)-method for stochastic delay differential equations
• A derivative-free explicit method with order 1.0 for solving stochastic delay differential equations
• The convergence of a numerical scheme for additive fractional stochastic delay equations with \(H>\frac 12\)
• Numerical solution of stochastic state-dependent delay differential equations: convergence and stability
• Mean square stability of two classes of theta method for neutral stochastic differential delay equations
• Convergence of a split-step Milstein method for linear stochastic delay differential equations
• Mean square convergence of the composite Euler method for a linear stochastic differential delay equation
• Numerical analysis for some stochastic delay differential equations
• Convergence and stability of the split-step -Milstein method for stochastic delay Hopfield neural networks
• scientific article; zbMATH DE number 7027615 (Why is no real title available?)
• Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients
• Mean-square exponential stability of an improved split-step backward Euler method for stochastic delay integro-differential equations
• Convergence and stability of split-step theta methods with variable step-size for stochastic pantograph differential equations
• Discrete gradient methods and linear projection methods for preserving a conserved quantity of stochastic differential equations
• Preserving exponential mean square stability and decay rates in two classes of theta approximations of stochastic differential equations
• Convergence and stability of Euler method for impulsive stochastic delay differential equations
• Split-step forward Euler methods for solving stochastic delay differential equations
• Two-step Maruyama schemes for nonlinear stochastic differential delay equations
• Stochastic partitioned averaged vector field methods for stochastic differential equations with a conserved quantity
• Multiple-delay stochastic McKean-Vlasov equations with Hölder diffusion coefficients and their numerical schemes
• Convergence and stability of modified partially truncated Euler-Maruyama method for stochastic differential equations with piecewise continuous arguments
• Convergence and stability of exponential Euler method for linear stochastic differential equations with variable delay
• Strong and weak divergence of the backward Euler method for neutral stochastic differential equations with time-dependent delay
• Split-step -method for stochastic pantograph differential equations: convergence and mean-square stability analysis
• Mean-square contractivity and convergence rate of stochastic theta Milstein schemes for non-autonomous SDEs with non-globally Lipschitz diffusion coefficients
• Mean-square contractivity and convergence rate of stochastic theta schemes for non-autonomous SDEs with non-globally Lipschitz continuous coefficients
• Numerical contractivity of split-step backward Milstein-type schemes for commutative SDEs with non-globally Lipschitz continuous coefficients
• Stability of the split-step backward Euler scheme for stochastic delay integro-differential equations with Markovian switching
• Convergence and almost sure exponential stability of compensated split-step theta scheme for stochastic pantograph models with Poisson random measure
• Asymptotic mean-square stability of explicit Runge-Kutta Maruyama methods for stochastic delay differential equations

This page was built for publication: The improved split-step backward Euler method for stochastic differential delay equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3101629)