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

DOI10.1155/2014/157498zbMath1470.65011OpenAlexW2123141825WikidataQ59035590 ScholiaQ59035590MaRDI QIDQ1722210

Chao Yue, Cheng-Ming Huang

Publication date: 14 February 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/157498

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) Numerical methods for functional-differential equations (65L03)

Related Items (3)

Strong convergence of the split-step backward Euler method for stochastic delay differential equations with a nonlinear diffusion coefficient ⋮ Strong convergence of the split-step theta method for neutral stochastic delay differential equations ⋮ Convergence and stability of split-step theta methods with variable step-size for stochastic pantograph differential equations

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