A class of stochastic one-parameter methods for nonlinear SFDEs with piecewise continuous arguments

DOI10.1016/j.apnum.2018.08.007OpenAlexW2886577612WikidataQ129391844 ScholiaQ129391844MaRDI QIDQ1615837

R. Smith

Publication date: 31 October 2018

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2018.08.007

zbMATH Keywords

strong convergencestochastic functional differential equationsmean-square exponential stabilitypiecewise continuous argumentsone-parameter methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (4)

Compensated split-step balanced methods for nonlinear stiff SDEs with jump-diffusion and piecewise continuous arguments ⋮ Convergence and stability of the Milstein scheme for stochastic differential equations with piecewise continuous arguments ⋮ One-leg methods for nonlinear stiff fractional differential equations with Caputo derivatives ⋮ Stochastic differential equation with piecewise continuous arguments: Markov property, invariant measure and numerical approximation

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