A note on order of convergence of numerical method for neutral stochastic functional differential equations

DOI10.1016/j.cnsns.2011.08.013zbMath1257.65005OpenAlexW2091591991MaRDI QIDQ430392

Feng Jiang, Fuke Wu, Yi Shen

Publication date: 21 June 2012

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.2011.08.013

zbMATH Keywords

order of convergenceneutral stochastic functional differential equationslocal Lipschitz conditionEuler-Maruyama method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Neutral stochastic functional differential equations with Lévy jumps under the local Lipschitz condition ⋮ Almost sure convergence rate of \(\theta\)-EM scheme for neutral SDDEs ⋮ On mean-square stability of two-step Maruyama methods for nonlinear neutral stochastic delay differential equations ⋮ Poisson stable solutions and solution maps for stochastic functional differential equations ⋮ Continuity and approximation properties of solutions to fractional neutral stochastic functional differential equations with non-Lipschitz coefficients ⋮ Stochastic \(\theta\)-methods for a class of jump-diffusion stochastic pantograph equations with random magnitude ⋮ Numerical schemes for stochastic differential equations with variable and distributed delays: the interpolation approach ⋮ Convergence rate of Euler-Maruyama scheme for SDDEs of neutral type

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