Strong convergence of the truncated Euler–Maruyama method for stochastic functional differential equations

DOI10.1080/00207160.2017.1395871zbMath1499.65299OpenAlexW2766939755MaRDI QIDQ5028587

No author found.

Publication date: 10 February 2022

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

Full work available at URL: https://doi.org/10.1080/00207160.2017.1395871

zbMATH Keywords

strong convergencelocal Lipschitz conditionstochastic functional differential equationKhasminskii-type conditiontruncated Euler-Maruyama method

Mathematics Subject Classification ID

Numerical methods for initial value problems involving ordinary differential equations (65L05) Finite element, Rayleigh-Ritz, Galerkin and collocation methods for ordinary differential equations (65L60)

Related Items (5)

The Convergence of Truncated Euler-Maruyama Method for Stochastic Differential Equations with Piecewise Continuous Arguments Under Generalized One-Sided Lipschitz Condition ⋮ Hybrid stochastic functional differential equations with infinite delay: approximations and numerics ⋮ Mean square stability for controlled hybrid neutral stochastic differential equations with infinite delay ⋮ An explicit approximation for super-linear stochastic functional differential equations ⋮ Exponential stabilization by delay feedback control for highly nonlinear hybrid stochastic functional differential equations with infinite delay

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Khasminskii-type theorems for stochastic functional differential equations
• The truncated Euler-Maruyama method for stochastic differential equations
• Generalised theory on asymptotic stability and boundedness of stochastic functional differential equations
• Exponential stability in mean square of neutral stochastic differential functional equations
• Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems
• Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
• Random differential inequalities
• Stochastic differential delay equations of population dynamics
• Approximate solutions for a class of stochastic evolution equations with variable delays
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Numerical Solutions of Stochastic Functional Differential Equations
• Stochastic Differential Equations with Markovian Switching

This page was built for publication: Strong convergence of the truncated Euler–Maruyama method for stochastic functional differential equations