Stability of Tamed EM scheme of Neutral Stochastic Differential Delay Equations

2019/09/07 by Yanting Ji, Ji, Yanting, Guowei Wan +3
Mathematics · Computer Science · #Numerical methods for differential equations #Differential Equations and Numerical Methods #Advanced Mathematical Modeling in Engineering

paper · pdf · doi:10.48550/arxiv.1909.03155

Abstract

In this paper, exponential mean-square stability and almost sure stability of the tamed EM scheme to neutral stochastic differential delay equation are investigated. Surprisingly, the exponential mean-square stability can reproduce the almost sure stability without placing extra conditions.

Citations

• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations

Related

• Tamed EM scheme of Neutral Stochastic Differential Delay Equations
• Mean square exponential stability of numerical methods for stochastic differential delay equations
• Mean-square exponential stability of exact and numerical solutions for neutral stochastic delay differential equations with Markovian switching
• Convergence of EM Scheme for Neutral Stochastic Differential Delay Equations
• Convergence rate and exponential stability of backward Euler method for neutral stochastic delay differential equations under generalized monotonicity conditions