Convergence rate of Euler-Maruyama scheme for stochastic pantograph differential equations

DOI10.1016/J.CNSNS.2013.10.015zbMath1457.65006OpenAlexW2077900908MaRDI QIDQ2299813

Jun Liu, Jin Zhou

Publication date: 24 February 2020

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2013.10.015

zbMATH Keywords

rate of convergenceMarkovian jumpstochastic pantograph differential equationsEM scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Fundamental topics (basic mathematics, methodology; applicable to economics in general) (91B02) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) General biology and biomathematics (92B05)

Related Items (5)

Strong convergence of the split-step backward Euler method for stochastic delay differential equations with a nonlinear diffusion coefficient ⋮ Solving the stochastic differential systems with modified split-step Euler-Maruyama method ⋮ Modified stochastic theta methods by ODEs solvers for stochastic differential equations ⋮ Strong convergence of the split-step theta method for stochastic delay differential equations with nonglobally Lipschitz continuous coefficients ⋮ Stability with general decay rate of hybrid neutral stochastic pantograph differential equations driven by Lévy noise

Cites Work

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• Existence and uniqueness of the solutions and convergence of semi-implicit Euler methods for stochastic pantograph equations
• Almost sure exponential stability of neutral stochastic differential difference equations
• Convergence of the Euler--Maruyama method for stochastic differential equations with Markovian switching.
• Continuous \(\Theta\)-methods for the stochastic pantograph equation
• Numerical solutions of stochastic differential delay equations under local Lipschitz condition
• On the \(\theta\)-method for delay differential equations with infinite lag
• The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions
• Convergence rate of EM scheme for \normalfont𝑆𝐷𝐷𝐸𝑠
• Numerical Solutions of Stochastic Differential Delay Equations with Jumps

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