Convergence and stability of split-step theta methods with variable step-size for stochastic pantograph differential equations

DOI10.1080/00207160.2017.1299862zbMath1499.60208OpenAlexW2592672261MaRDI QIDQ5026490

Boping Tian, Yu Xiao, Mahmoud A. Eissa

Publication date: 8 February 2022

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

Full work available at URL: https://doi.org/10.1080/00207160.2017.1299862

zbMATH Keywords

convergencevariable step-sizemean-square stabilitystochastic pantograph differential equationssplit-step theta methods

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

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Asymptotical mean-square stability of linearθ-methods for stochastic pantograph differential equations: variable stepsize and transformation approach, Stability of numerical solutions for the stochastic pantograph differential equations with variable step size, Almost sure stability with general decay rate of exact and numerical solutions for stochastic pantograph differential equations, The partially truncated Euler-Maruyama method for nonlinear pantograph stochastic differential equations, Convergence, non-negativity and stability of a new lobatto IIIC-Milstein method for a pricing option approach based on stochastic volatility model

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