Convergence and almost sure polynomial stability of the backward and forward-backward Euler methods for highly nonlinear pantograph stochastic differential equations

DOI10.1016/j.matcom.2018.02.006OpenAlexW2794076962WikidataQ130192697 ScholiaQ130192697MaRDI QIDQ1997114

Marija Milošević

Publication date: 1 March 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2018.02.006

zbMATH Keywords

pantograph stochastic differential equationsbackward and forward-backward Euler methodsnonlinear growth conditionsone-sided Lipschitz conditionglobal a.s. asymptotic polynomial stability

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65Cxx)

Cites Work

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• Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Stochastic differential delay equations with jumps, under nonlinear growth condition
• Stochastic Differential Equations with Markovian Switching
• Khasminskii-Type Theorems for Stochastic Differential Delay Equations

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