Convergence of the Euler method of stochastic differential equations with piecewise continuous arguments

DOI10.1155/2012/643783zbMath1259.65008OpenAlexW2054482928WikidataQ58695770 ScholiaQ58695770MaRDI QIDQ1938262

Ling Zhang, Minghui Song

Publication date: 4 February 2013

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

Full work available at URL: https://doi.org/10.1155/2012/643783

zbMATH Keywords

stochastic differential equationconvergenceEuler method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (10)

A class of stochastic one-parameter methods for nonlinear SFDEs with piecewise continuous arguments ⋮ Analysis and robust \(H_\infty\) control for systems of stochastic differential equations with piecewise constant arguments ⋮ Compensated split-step balanced methods for nonlinear stiff SDEs with jump-diffusion and piecewise continuous arguments ⋮ Convergence and stability of the one-leg θ method for stochastic differential equations with piecewise continuous arguments ⋮ Convergence and stability of stochastic theta method for nonlinear stochastic differential equations with piecewise continuous arguments ⋮ Convergence and stability of an explicit method for nonlinear stochastic differential equations with piecewise continuous arguments ⋮ Convergence and stability of modified partially truncated Euler-Maruyama method for stochastic differential equations with piecewise continuous arguments ⋮ Convergence and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments ⋮ Strong convergence of the tamed Euler method for stochastic differential equations with piecewise continuous arguments and Poisson jumps ⋮ Convergence rate and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments

Cites Work

• Retarded differential equations with piecewise constant delays
• Numerical solutions of stochastic differential delay equations under local Lipschitz condition
• Stability of \(\theta\)-methods for advanced differential equations with piecewise continuous arguments
• Invariant curves for planar mappings
• Numerical Solutions of Stochastic Functional Differential Equations
• Stochastic Differential Equations with Markovian Switching
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