Convergence and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments

DOI10.1016/j.cam.2016.11.033zbMath1376.60066OpenAlexW2558543231MaRDI QIDQ507963

Yong-Cai Geng, Sumit K. Garg

Publication date: 9 February 2017

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.2016.11.033

zbMATH Keywords

exponential mean square stabilitymonotone conditionconvergence of the SST methodsplit-step theta (SST) methodstochastic differential equations with piecewise continuous arguments

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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Uses Software

• RODAS

Cites Work

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