Mean-square stability of the Euler–Maruyama method for stochastic differential delay equations with jumps

DOI10.1080/00207160903474206zbMath1215.65016OpenAlexW1972231699MaRDI QIDQ5391495

Jian-Guo Tan, Hong-li Wang

Publication date: 6 April 2011

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

Full work available at URL: https://doi.org/10.1080/00207160903474206

zbMATH Keywords

numerical experimentmean-square stabilityPoisson jumpsstochastic differential delay equationsEuler-Maruyama methods

Mathematics Subject Classification ID

Related Items (9)

A robust weak Taylor approximation scheme for solutions of jump-diffusion stochastic delay differential equations ⋮ Stability of analytical and numerical solutions for nonlinear stochastic delay differential equations with jumps ⋮ Existence and uniqueness of solutions to neutral stochastic functional differential equations with Poisson jumps ⋮ Mean-square stability of the backward Euler-Maruyama method for neutral stochastic delay differential equations with jumps ⋮ Exponential stability of the split-step \(\theta \)-method for neutral stochastic delay differential equations with jumps ⋮ Stability with general decay rates of stochastic differential delay equations with Poisson jumps and Markovian switching ⋮ Mean square stability and almost sure exponential stability of two step Maruyama methods of stochastic delay Hopfield neural networks ⋮ \(\mathscr{H}_-\) index for Itô stochastic systems with Poisson jump ⋮ Exponential mean-square stability of numerical solutions for stochastic delay integro-differential equations with Poisson jump

This page was built for publication: Mean-square stability of the Euler–Maruyama method for stochastic differential delay equations with jumps