Stability analysis of split-step \(\theta \)-Milstein method for a class of \(n\)-dimensional stochastic differential equations (Q2008838)

scientific article; zbMATH DE number 7136815

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English	Stability analysis of split-step \(\theta \)-Milstein method for a class of \(n\)-dimensional stochastic differential equations	scientific article; zbMATH DE number 7136815

Statements

instance of

scholarly article

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title

Stability analysis of split-step \(\theta \)-Milstein method for a class of \(n\)-dimensional stochastic differential equations (English)

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author

D. Ahmadian

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O. Farkhondeh Rouz

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Luca Vincenzo Ballestra

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published in

Applied Mathematics and Computation

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publication date

26 November 2019

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zbMATH Keywords

split-step theta Milstein method

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exponential mean-square stability

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stochastic delay differential equations

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MaRDI profile type

Publication

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full work available at URL

https://doi.org/10.1016/j.amc.2018.10.040

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cites work

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Exponential stability in \(p\)-th mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations

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Almost sure exponential stability of the backward Euler-Maruyama scheme for stochastic delay differential equations with monotone-type condition

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Convergence and stability of the split-step \(\theta \)-method for stochastic differential equations

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Fractional stochastic differential equations with applications to finance

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Asymptotic stability of balanced methods for stochastic jump-diffusion differential equations

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A modified Milstein scheme for approximation of stochastic delay differential equations with constant time lag

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Robustness of exponential stability of a class of stochastic functional differential equations with infinite delay

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Mean square stability and dissipativity of two classes of theta methods for systems of stochastic delay differential equations

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Higher-order implicit strong numerical schemes for stochastic differential equations

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Stability analysis of stochastic functional differential equations with infinite delay and its application to recurrent neural networks

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Mean square stability of two classes of theta method for neutral stochastic differential delay equations

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Q4303533

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Q4369402

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Exponential stability of equidistant Euler-Maruyama approximations of stochastic differential delay equations

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Discrete-time approximations of stochastic delay equations: the Milstein scheme.

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Balanced Milstein Methods for Ordinary SDEs

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Stochastic differential delay equations of population dynamics

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Global attractivity in a delay differential equation with application in a commodity model

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Delay-dependent exponential stability of the backward Euler method for nonlinear stochastic delay differential equations

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Mean-square stability of Milstein method for linear hybrid stochastic delay integro-differential equations

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The estimation of parameters for stochastic differential equations using neural networks

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Split-step Adams–Moulton Milstein methods for systems of stiff stochastic differential equations

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\(\theta\)-Maruyama methods for nonlinear stochastic differential delay equations

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An analysis of stability of Milstein method for stochastic differential equations with delay

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Discrete Razumikhin-type technique and stability of the Euler-Maruyama method to stochastic functional differential equations

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Almost sure exponential stability of the Euler–Maruyama approximations for stochastic functional differential equations

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Exponential stability of the exact and numerical solutions for neutral stochastic delay differential equations

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Convergence and stability of two classes of theta-Milstein schemes for stochastic differential equations

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Almost sure exponential stability for time-changed stochastic differential equations

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Identifiers

zbMATH Open document ID

1429.65014

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Mathematics Subject Classification ID

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10.1016/J.AMC.2018.10.040

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Sitelinks

Mathematics(1 entry)

mardi Publication:2008838