Convergence and stability of stochastic theta method for nonlinear stochastic differential equations with piecewise continuous arguments

DOI10.1016/j.cam.2021.113849zbMath1482.65015OpenAlexW3207419259WikidataQ115359660 ScholiaQ115359660MaRDI QIDQ2667126

Minghui Song, YuHang Zhang, Ming-Zhu Liu

Publication date: 24 November 2021

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2021.113849

zbMATH Keywords

convergence analysisstochastic differential equationsexponential mean square stabilitystochastic theta methodpiecewise continuous argumentssuper-linear growth

Mathematics Subject Classification ID

Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical methods for initial value problems involving ordinary differential equations (65L05) General theory of functional-differential equations (34K05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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