Backward Euler-Maruyama method applied to nonlinear hybrid stochastic differential equations with time-variable delay

DOI10.1007/s11425-017-9135-6zbMath1409.65007OpenAlexW2788116973MaRDI QIDQ1729965

Xianqiang Yang

Publication date: 7 March 2019

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-017-9135-6

zbMATH Keywords

strong convergencebackward Euler-Maruyama methodalmost surely exponential stabilitytime-variable delaynonlinear hybrid stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) 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 (6)

Compensated split-step balanced methods for nonlinear stiff SDEs with jump-diffusion and piecewise continuous arguments ⋮ MEAN SQUARE CONVERGENCE AND STABILITY OF BALANCED METHODS FOR STOCHASTIC VARIABLE DELAY DIFFERENTIAL EQUATIONS ⋮ Convergence and stability of split-step θ methods for stochastic variable delay differential equations ⋮ Strong convergence of the tamed Euler method for nonlinear hybrid stochastic differential equations with piecewise continuous arguments ⋮ Strong convergence rate of the stochastic theta method for nonlinear hybrid stochastic differential equations with piecewise continuous arguments ⋮ The backward Euler-Maruyama method for invariant measures of stochastic differential equations with super-linear coefficients

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