The convergence of a numerical scheme for additive fractional stochastic delay equations with \(H>\frac 12\)

DOI10.1016/j.matcom.2021.08.010OpenAlexW3195991834MaRDI QIDQ2666486

Fatemeh Mahmoudi, Mahdieh Tahmasebi

Publication date: 22 November 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.2021.08.010

zbMATH Keywords

strong convergencefractional Brownian motionstochastic delay differential equationsexponential Euler scheme

Mathematics Subject Classification ID

Numerical analysis (65-XX) Probability theory and stochastic processes (60-XX)

Cites Work

• Unnamed Item
• Unnamed Item
• Convergence of delay differential equations driven by fractional Brownian motion
• A stochastic exponential Euler scheme for simulation of stiff biochemical reaction systems
• The existence and exponential behavior of solutions to stochastic delay evolution equations with a fractional Brownian motion
• The convergence and MS stability of exponential Euler method for semilinear stochastic differential equations
• MS-stability of the Euler--Maruyama method for stochastic differential delay equations
• Exponential stability of equidistant Euler-Maruyama approximations of stochastic differential delay equations
• \(\theta\)-Maruyama methods for nonlinear stochastic differential delay equations
• Self-similarity in high-speed packet traffic: analysis and modeling of Ethernet traffic measurements
• Almost sure exponential stability of numerical solutions for stochastic delay differential equations
• Random differential inequalities
• Strong contractivity properties of numerical methods for ordinary and delay differential equations
• Are classes of deterministic integrands for fractional Brownian motion on an interval complete?
• Introduction to the numerical analysis of stochastic delay differential equations
• Numerical solutions of stochastic differential delay equations under local Lipschitz condition
• Discrete-time approximations of stochastic delay equations: the Milstein scheme.
• Implicit Euler approximation of stochastic evolution equations with fractional Brownian motion
• Runge-Kutta Lawson schemes for stochastic differential equations
• Euler scheme for fractional delay stochastic differential equations by rough paths techniques
• Convergence and stability of the exponential Euler method for semi-linear stochastic delay differential equations
• S-ROCK methods for stochastic delay differential equations with one fixed delay
• Optimal approximation of SDE's with additive fractional noise
• Numerical Analysis of Explicit One-Step Methods for Stochastic Delay Differential Equations
• The improved split-step backward Euler method for stochastic differential delay equations
• The Malliavin Calculus and Related Topics
• A Delayed Black and Scholes Formula
• The rate of convergence for Euler approximations of solutions of stochastic differential equations driven by fractional Brownian motion
• Overcoming the order barrier in the numerical approximation of stochastic partial differential equations with additive space–time noise
• Weak approximation of stochastic differential delay equations
• Stochastic integration with respect to the fractional Brownian motion
• On the prediction of fractional Brownian motion
• Stochastic Equations in Infinite Dimensions
• Fractional Brownian Motions, Fractional Noises and Applications
• A new class of exponential integrators for SDEs with multiplicative noise
• Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion
• Stability of numerical method for semi-linear stochastic pantograph differential equations