Convergence and stability of the split-step backward Euler method for linear stochastic delay integro-differential equations

DOI10.1016/j.mcm.2009.11.020zbMath1190.65012OpenAlexW1965606920MaRDI QIDQ984198

Hong-li Wang, Jian-Guo Tan

Publication date: 16 July 2010

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2009.11.020

zbMATH Keywords

numerical solutionmean-square stabilitysplit-step backward Euler methodstochastic delay integro-differential equations

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30) Stochastic analysis (60H99)

Related Items (22)

Convergence and stability of balanced methods for stochastic delay integro-differential equations ⋮ Analysis of stability for stochastic delay integro-differential equations ⋮ Improving split-step forward methods by ODE solver for stiff stochastic differential equations ⋮ Convergence of the split-step \(\theta\)-method for stochastic age-dependent population equations with Markovian switching and variable delay ⋮ Convergence of the split-step \(\theta\)-method for stochastic age-dependent population equations with Poisson jumps ⋮ A note on stability of the split-step backward Euler method for linear stochastic delay integro-differential equations ⋮ Strong Convergence of the Euler-Maruyama Method for a Class of Stochastic Volterra Integral Equations ⋮ On mean square stability and dissipativity of split-step theta method for nonlinear neutral stochastic delay differential equations ⋮ Convergence and stability of split-step θ methods for stochastic variable delay differential equations ⋮ Split-step \(\theta\)-methods for stochastic age-dependent population equations with Markovian switching ⋮ \(T\)-stability of the split-step \(\theta\)-methods for linear stochastic delay integro-differential equations ⋮ Strong convergence of the split-step \(\theta\)-method for stochastic age-dependent capital system with random jump magnitudes ⋮ Stability of highly nonlinear hybrid stochastic integro-differential delay equations ⋮ Exponential stability of the split-step \(\theta \)-method for neutral stochastic delay differential equations with jumps ⋮ Numerical analysis of the balanced methods for stochastic Volterra integro-differential equations ⋮ The split-step \(\theta \)-methods for stochastic delay Hopfield neural networks ⋮ Theoretical and numerical analysis of a class of stochastic Volterra integro-differential equations with non-globally Lipschitz continuous coefficients ⋮ B-convergence of split-step one-leg theta methods for stochastic differential equations ⋮ General decay stability of backward Euler-Maruyama method for nonlinear stochastic integro-differential equations ⋮ Theoretical and numerical analysis of the Euler-Maruyama method for generalized stochastic Volterra integro-differential equations ⋮ An iterative splitting approach for linear integro-differential equations ⋮ Strong convergence of the split-stepθ-method for stochastic age-dependent population equations

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