Strong convergence of the split-step theta method for neutral stochastic delay differential equations (Q2012631)

scientific article; zbMATH DE number 6755536

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English	Strong convergence of the split-step theta method for neutral stochastic delay differential equations	scientific article; zbMATH DE number 6755536

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instance of

scholarly article

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title

Strong convergence of the split-step theta method for neutral stochastic delay differential equations (English)

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Applied Numerical Mathematics

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publication date

1 August 2017

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zbMATH Keywords

neutral stochastic delay differential equation

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split-step theta method

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strong convergence

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highly nonlinear condition

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numerical result

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MaRDI profile type

Publication

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full work available at URL

https://doi.org/10.1016/j.apnum.2017.05.008

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cites work

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Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift

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

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Stability of analytical and numerical solutions of nonlinear stochastic delay differential equations

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Neutral Stochastic Differential Delay Equations with Markovian Switching

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Numerical Solution of Implicit Neutral Functional Differential Equations

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Highly nonlinear neutral stochastic differential equations with time-dependent delay and the Euler-Maruyama method

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Convergence and almost sure exponential stability of implicit numerical methods for a class of highly nonlinear neutral stochastic differential equations with constant delay

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Strong convergence of the split-step theta method for stochastic delay differential equations with nonglobally Lipschitz continuous coefficients

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

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Strong convergence and stability of backward Euler-Maruyama scheme for highly nonlinear hybrid stochastic differential delay equation

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Convergence of numerical solutions to neutral stochastic delay differential equations with Markovian switching

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Identifiers

zbMATH Open document ID

1370.65004

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Mathematics Subject Classification ID

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10.1016/J.APNUM.2017.05.008

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Sitelinks

Mathematics(1 entry)

mardi Publication:2012631