Asymptotic exponential stability of modified truncated EM method for neutral stochastic differential delay equations

DOI10.1016/j.cam.2018.03.001zbMath1391.65021OpenAlexW2794445707WikidataQ115581072 ScholiaQ115581072MaRDI QIDQ1636773

Guangqiang Lan

Publication date: 12 June 2018

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.2018.03.001

zbMATH Keywords

almost sure exponential stabilitymean-square exponential stabilitymodified truncated Euler-Maruyama methodneutral stochastic differential delay equations

Mathematics Subject Classification ID

Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items

Polynomial stability of exact solution and a numerical method for stochastic differential equations with time-dependent delay ⋮ Numerical method of highly nonlinear and nonautonomous neutral stochastic differential delay equations with Markovian switching ⋮ Stability analysis of the \(\theta\)-method for hybrid neutral stochastic functional differential equations with jumps ⋮ \(p\)th moment \((p \in (0, 1))\) and almost sure exponential stability of the exact solutions and modified truncated EM method for stochastic differential equations ⋮ Stationary distribution of the Milstein scheme for stochastic differential delay equations with first-order convergence ⋮ Tamed EM schemes for neutral stochastic differential delay equations with superlinear diffusion coefficients ⋮ Strong convergence rates of modified truncated EM methods for neutral stochastic differential delay equations

Cites Work

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• Stochastic Differential Equations with Markovian Switching