Convergence of the semi-implicit Euler method for neutral stochastic delay differential equations with phase semi-Markovian switching

DOI10.1016/j.apm.2010.11.002zbMath1217.65015OpenAlexW2061218760MaRDI QIDQ552463

Zhonghua Ma, Baojian Yin

Publication date: 21 July 2011

Published in: Applied Mathematical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apm.2010.11.002

zbMATH Keywords

numerical analysisneutral stochastic delay differential equationsphase semi-Markovian switchingsemi-implicit Euler-Maruyama method

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Numerical solutions to stochastic differential and integral equations (65C30) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (14)

The existence and uniqueness of mild solutions to stochastic differential equations with Lévy noise ⋮ Global exponential stability for multi-group neutral delayed systems based on Razumikhin method and graph theory ⋮ On mean square stability and dissipativity of split-step theta method for nonlinear neutral stochastic delay differential equations ⋮ Almost surely asymptotic stability of exact and numerical solutions for neutral stochastic pantograph equations ⋮ Razumikhin-type theorem and mean square asymptotic behavior of the backward Euler method for neutral stochastic pantograph equations ⋮ Almost surely asymptotic stability of numerical solutions for neutral stochastic delay differential equations ⋮ Stabilisation and H_∞ control of neutral stochastic delay Markovian jump systems ⋮ Convergence of numerical solutions to stochastic differential equations with Markovian switching ⋮ Convergence and asymptotical stability of numerical solutions for neutral stochastic delay differential equations driven by \(G\)-Brownian motion ⋮ Exponential stability of the exact and numerical solutions for neutral stochastic delay differential equations ⋮ A particle swarm optimization-based method for numerically solving ordinary differential equations ⋮ Almost sure and mean square exponential stability of numerical solutions for neutral stochastic functional differential equations ⋮ Strong convergence rates of modified truncated EM methods for neutral stochastic differential delay equations ⋮ Strong convergence rate of the stochastic theta method for nonlinear hybrid stochastic differential equations with piecewise continuous arguments

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