Stability equivalence between the neutral delayed stochastic differential equations and the Euler-Maruyama numerical scheme

DOI10.1016/j.apnum.2018.01.016zbMath1382.65020OpenAlexW2793551052MaRDI QIDQ1696858

Linna Liu, Mengling Li, Fei Qi Deng

Publication date: 15 February 2018

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

Full work available at URL: https://doi.org/10.1016/j.apnum.2018.01.016

zbMATH Keywords

equivalencesimulationexponential stabilitymean squareapproximation degreeEuler-Maruyama numerical schemeneutral delayed stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (8)

Equivalence of \(p\)th moment stability between stochastic differential delay equations and their numerical methods ⋮ Stability analysis of the \(\theta\)-method for hybrid neutral stochastic functional differential equations with jumps ⋮ Stationary distribution of the Milstein scheme for stochastic differential delay equations with first-order convergence ⋮ Equivalence of stability among stochastic differential equations, stochastic differential delay equations, and their corresponding Euler-Maruyama methods ⋮ Equivalence of the mean square stability between the partially truncated Euler-Maruyama method and stochastic differential equations with super-linear growing coefficients ⋮ Stability equivalence among stochastic differential equations and stochastic differential equations with piecewise continuous arguments and corresponding Euler-Maruyama methods ⋮ Stability equivalence between the stochastic differential delay equations driven by \(G\)-Brownian motion and the Euler-Maruyama method ⋮ Unnamed Item

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