Weak discrete time approximation of stochastic differential equations with time delay
From MaRDI portal
convergencediscrete time approximationMonte Carlo simulationstochastic differential equations with time delayweak convergence
Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)
Recommendations
- Weak approximation of stochastic differential delay equations
- Weak convergence of delay SDEs with applications to Carathéodory approximation
- Approximate solutions for a class of delay stochastic differential equations
- scientific article; zbMATH DE number 970657
- A duality approach for the weak approximation of stochastic differential equations
Cites work
- scientific article; zbMATH DE number 3936125 (Why is no real title available?)
- scientific article; zbMATH DE number 4036847 (Why is no real title available?)
- scientific article; zbMATH DE number 45955 (Why is no real title available?)
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- scientific article; zbMATH DE number 4126428 (Why is no real title available?)
- scientific article; zbMATH DE number 1252483 (Why is no real title available?)
- scientific article; zbMATH DE number 1405267 (Why is no real title available?)
- Introduction to functional differential equations
- The lyapunov spectrum and stable manifolds for stochastic linear delay equations
Cited in
(34)- Convergence of numerical solutions for variable delay differential equations driven by Poisson random jump measure
- A semi-discretization method for delayed stochastic systems
- Simultaneous time and chance discretization for stochastic differential equations
- Weak convergence of delay SDEs with applications to Carathéodory approximation
- Weak and strong discrete-time approximation of fractional SDEs
- An adaptive weak continuous Euler-Maruyama method for stochastic delay differential equations
- Convergence of numerical solutions to stochastic delay differential equations with jumps
- A note on Euler approximations for stochastic differential equations with delay
- Split-step \({\theta}\)-method for stochastic delay differential equations
- Exponential stability of numerical solutions to SDDEs with Markovian switching
- Convergence and stability of numerical solutions to SDDEs with Markovian switching
- Convergence rate of EM scheme for SDDEs
- Analysis and control of deterministic and stochastic dynamical systems with time delay
- Numerical analysis for neutral SPDEs driven by {\(\alpha\)}-stable processes
- Weak convergence of the Euler scheme for stochastic differential delay equations
- Approximate solutions for a class of delay stochastic differential equations
- Weak approximation of stochastic delay differential equations with bounded memory by discrete time series.
- scientific article; zbMATH DE number 5190527 (Why is no real title available?)
- Delay-induced stochastic bifurcations in a bistable system under white noise
- Weak approximation of stochastic differential delay equations
- Weak approximation of stochastic differential delay equations for bounded measurable function
- Maximal Lyapunov Exponents and Steady-State Moments of a VI System based Upon TDFC and VED
- Strong convergence of Euler approximations of stochastic differential equations with delay under local Lipschitz condition
- scientific article; zbMATH DE number 970657 (Why is no real title available?)
- Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation
- Asymptotic mean square stability of predictor-corrector methods for stochastic delay ordinary and partial differential equations
- Delay-dependent stability of predictor-corrector methods of Runge-Kutta type for stochastic delay differential equations
- MS-stability of the Euler--Maruyama method for stochastic differential delay equations
- Weak convergence of path-dependent SDEs with irregular coefficients
- Finite dimensional Markov process approximation for stochastic time-delayed dynamical systems
- Taylor approximation of the solutions of stochastic differential delay equations with Poisson jump
- A duality approach for the weak approximation of stochastic differential equations
- Convergence and stability of the split-step backward Euler method for linear stochastic delay integro-differential equations
- The Euler scheme for random impulsive differential equations
This page was built for publication: Weak discrete time approximation of stochastic differential equations with time delay
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1614044)
