Almost sure and mean square exponential stability of numerical solutions for neutral stochastic functional differential equations

DOI10.1080/00207160.2014.887699zbMath1322.60140OpenAlexW2071229759MaRDI QIDQ4983273

Zhanhua Yu

Publication date: 25 March 2015

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2014.887699

zbMATH Keywords

Euler methodbackward Euler methodalmost sure exponential stability\(p\)-th moment exponential stabilityneutral stochastic functional differential equationsmean square exponential stability

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) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (7)

Neutral stochastic functional differential equations with Lévy jumps under the local Lipschitz condition ⋮ Stability analysis of the \(\theta\)-method for hybrid neutral stochastic functional differential equations with jumps ⋮ Exponential mean-square stability of the θ-method for neutral stochastic delay differential equations with jumps ⋮ Numerical solutions of neutral stochastic functional differential equations with Markovian switching ⋮ Exponential stability of the split-step \(\theta \)-method for neutral stochastic delay differential equations with jumps ⋮ Stability in distribution of numerical solution of neutral stochastic functional differential equations with infinite delay ⋮ Convergence rate of Euler-Maruyama scheme for SDDEs of neutral type

Cites Work

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• Numerical approximation of nonlinear neutral stochastic functional differential equations
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• Some New Aspects of Lyapunov-Type Theorems for Stochastic Differential Equations of Neutral Type
• Numerical Solutions of Neutral Stochastic Functional Differential Equations
• Razumikhin-Type Theorems on Exponential Stability of Neutral Stochastic Differential Equations
• Almost sure exponential stability of the Euler–Maruyama approximations for stochastic functional differential equations
• Razumikhin-Type Theorems on Stability of Neutral Stochastic Functional Differential Equations

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