One-step approximations for stochastic functional differential equations

DOI10.1016/j.apnum.2005.05.001zbMath1105.65005OpenAlexW2089013849MaRDI QIDQ2490728

Evelyn Buckwar

Publication date: 18 May 2006

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: http://edoc.hu-berlin.de/18452/3236

zbMATH Keywords

error estimatesmean-square convergencedrift-implicit one-step schemessystems of Itô stochastic functional 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) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Numerical solutions to stochastic differential and integral equations (65C30) Error bounds for numerical methods for ordinary differential equations (65L70)

Related Items (13)

On mean-square stability of two-step Maruyama methods for nonlinear neutral stochastic delay differential equations ⋮ Convergence and stability of the split-step \(\theta\)-Milstein method for stochastic delay Hopfield neural networks ⋮ On mean square stability and dissipativity of split-step theta method for nonlinear neutral stochastic delay differential equations ⋮ \(\theta\)-Maruyama methods for nonlinear stochastic differential delay equations ⋮ Multi-Step Maruyama Methods for Stochastic Delay Differential Equations ⋮ Convergence and stability of numerical solutions to a class of index 1 stochastic differential algebraic equations with time delay ⋮ Projected Euler-Maruyama method for stochastic delay differential equations under a global monotonicity condition ⋮ Mean square convergence of one-step methods for neutral stochastic differential delay equations ⋮ Convergence of numerical solutions for variable delay differential equations driven by Poisson random jump measure ⋮ Mean-square convergence of drift-implicit one-step methods for neutral stochastic delay differential equations with jump diffusion ⋮ Numerical treatment of stochastic delay differential equations: a global error bound ⋮ Approximate solutions of hybrid stochastic pantograph equations with Levy jumps ⋮ An approximate method via Taylor series for stochastic functional differential equations

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