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

DOI10.1016/J.CAM.2008.08.032MaRDI QIDQ1006019zbMATH OpenOpenAlexFDO

Authors Haomin Zhang, Lin Hu, Siqing Gan

Publication date 17 March 2009

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2008.08.032

zbMATH Keywords

numerical examplesfinite-time convergencemean-square stabilitysplit-step backward Euler methodstochastic delay differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Stochastic functional-differential equations (34K50) 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)

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Cites work

• scientific article; zbMATH DE number 3784042 (Why is no real title available?)
• scientific article; zbMATH DE number 1099342 (Why is no real title available?)
• An analysis of stability of Milstein method for stochastic differential equations with delay
• Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation
• Discrete-time approximations of stochastic delay equations: the Milstein scheme.
• Exponential stability in \(p\)-th mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Introduction to the numerical analysis of stochastic delay differential equations
• Multi-Step Maruyama Methods for Stochastic Delay Differential Equations
• Numerical analysis of explicit one-step methods for stochastic delay differential equations
• Numerical methods for nonlinear stochastic differential equations with jumps
• Numerical solutions of stochastic differential delay equations under local Lipschitz condition
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Strong contractivity properties of numerical methods for ordinary and delay differential equations

Cited in

(36)

• Stability of analytical and numerical solutions of nonlinear stochastic delay differential equations
• Delay dependent stability of stochastic split-step \(\theta\) methods for stochastic delay differential equations
• Stability of analytical and numerical solutions for nonlinear stochastic delay differential equations with jumps
• Strong convergence of the split-step theta method for stochastic delay differential equations with nonglobally Lipschitz continuous coefficients
• Numerical schemes for stochastic differential equations with variable and distributed delays: the interpolation approach
• Split-step forward Euler methods for solving stochastic delay differential equations
• A Legendre-based computational method for solving a class of Itô stochastic delay differential equations
• Numerical approximation of stochastic differential delay equation with coefficients of polynomial growth
• Delay-dependent stability of predictor-corrector methods of Runge-Kutta type for stochastic delay differential equations
• Stability of stochastic \(\theta \)-methods for stochastic delay integro-differential equations
• Split-step \({\theta}\)-method for stochastic delay differential equations
• Strong convergence of the split-step backward Euler method for stochastic delay differential equations with a nonlinear diffusion coefficient
• Divergence of the backward Euler method for ordinary stochastic differential equations
• Mean-square stability of semi-implicit Euler method for nonlinear neutral stochastic delay differential equations
• Stability of the split-step backward Euler scheme for stochastic delay integro-differential equations with Markovian switching
• Convergence and stability of the split-step backward Euler method for linear stochastic delay integro-differential equations
• Asymptotic mean square boundedness of numerical solutions to stochastic delay differential equations
• Exponential stability and numerical methods of stochastic recurrent neural networks with delays
• Almost sure and \(L^p\) convergence of split-step backward Euler method for stochastic delay differential equation
• Strong convergence of the split-step theta method for neutral stochastic delay differential equations
• 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
• Numerical solution of stochastic state-dependent delay differential equations: convergence and stability
• A note on stability of the split-step backward Euler method for linear stochastic delay integro-differential equations
• Mean-square exponential stability of stochastic theta methods for nonlinear stochastic delay integro-differential equations
• Delay dependent asymptotic mean square stability analysis of the stochastic exponential Euler method
• \(T\)-stability of the split-step \(\theta\)-methods for linear stochastic delay integro-differential equations
• Delay-dependent exponential stability of the backward Euler method for nonlinear stochastic delay differential equations
• A robust weak Taylor approximation scheme for solutions of jump-diffusion stochastic delay differential equations
• Convergence and stability of the split-step -Milstein method for stochastic delay Hopfield neural networks
• The improved split-step backward Euler method for stochastic differential delay equations
• Convergence and stability of exponential Euler method for linear stochastic differential equations with variable delay
• Pathwise convergence under Knightian uncertainty
• On mean square stability and dissipativity of split-step theta method for nonlinear neutral stochastic delay differential equations
• Convergence of a split-step Milstein method for linear stochastic delay differential equations
• Convergence and stability of split-step θ methods for stochastic variable delay differential equations

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