Almost sure and \(L^p\) convergence of split-step backward Euler method for stochastic delay differential equation

DOI10.1155/2014/390418zbMath1469.65029OpenAlexW1992997700WikidataQ59037147 ScholiaQ59037147MaRDI QIDQ1724003

Qian Guo, Xueyin Tao

Publication date: 14 February 2019

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

Full work available at URL: https://doi.org/10.1155/2014/390418

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for functional-differential equations (65L03)

Related Items (2)

The semimartingale approach to almost sure stability analysis of a two-stage numerical method for stochastic delay differential equation ⋮ Stability in mean for uncertain delay differential equations based on new Lipschitz conditions

Cites Work

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• Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation
• The split-step backward Euler method for linear stochastic delay differential equations
• An analytic approximation of solutions of stochastic differential equations
• Introduction to the numerical analysis of stochastic delay differential equations
• Numerical solutions of stochastic differential delay equations under local Lipschitz condition
• Discrete-time approximations of stochastic delay equations: the Milstein scheme.
• A note on Euler approximations for stochastic differential equations with delay
• Numerical Analysis of Explicit One-Step Methods for Stochastic Delay Differential Equations
• The improved split-step backward Euler method for stochastic differential delay equations
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations

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