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An Euler scheme for stochastic delay differential equations on unbounded domains: Pathwise convergence
1. | Department of Mathematical Sciences and Computer, Kharazmi University, 50 Taleghani Avenue, Tehran 1561836314, Iran, Iran |
2. | Institut für Mathematik, Universität Mannheim, A5, 6, D-63181 Mannheim, Germany |
References:
[1] |
J. A. D. Appleby and A. Rodkina, Asymptotic stability of polynomial stochastic delay differential equations with damped perturbations, Funct. Differ. Equ., 12 (2005), 35-66. |
[2] |
L. Arnold, Random Dynamical Systems, Springer, Berlin, 1998.
doi: 10.1007/978-3-662-12878-7. |
[3] |
V. I. Bogachev, Measure Theory. Vol I, Springer, Berlin, 2007.
doi: 10.1007/978-3-540-34514-5. |
[4] |
I. Gyöngy, A note on Euler's approximations, Potential Anal., 8 (1998), 205-216.
doi: 10.1023/A:1008605221617. |
[5] |
I. Gyöngy and S. Sabanis, A note on Euler approximations for stochastic differential equations with delay, Appl. Math. Optim., 68 (2013), 391-412.
doi: 10.1007/s00245-013-9211-7. |
[6] |
D. J. Higham, X. Mao and A. M. Stuart, Strong convergence of Euler-type methods for nonlinear stochastic differential equations, SIAM J. Numer. Anal., 40 (2002), 1041-1063.
doi: 10.1137/S0036142901389530. |
[7] |
M. Hutzenthaler and A. Jentzen, Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients,, to appear in Mem. Amer. Math. Soc., ().
|
[8] |
A. Jentzen, Pathwise numerical approximations of SPDEs with additive noise under non-global Lipschitz coefficients, Potential. Anal., 31 (2009), 375-404.
doi: 10.1007/s11118-009-9139-3. |
[9] |
A. Jentzen, P. E. Kloeden and A. Neuenkirch, Pathwise approximation of stochastic differential equations on domains: higher order convergence rates without global Lipschitz coefficients, Numer. Math., 112 (2009), 41-64.
doi: 10.1007/s00211-008-0200-8. |
[10] |
P. E. Kloeden, G. Lord, A. Neuenkirch and T. Shardlow, The exponential integrator scheme for stochastic partial differential equations: pathwise error bounds, J. Comput. Appl. Math., 235 (2011), 1245-1260.
doi: 10.1016/j.cam.2010.08.011. |
[11] |
P. E. Kloeden and A. Neuenkirch, The pathwise convergence of approximation schemes for stochastic differential equations, LMS J. Comput. Math., 10 (2007), 235-253.
doi: 10.1112/S1461157000001388. |
[12] |
X. Mao, Stochastic Differential Equations and their Applications, Horwood Publishing, Chichester, 1997. |
[13] |
X. Mao and S. Sabanis, Numerical solutions of stochastic differential delay equations under local Lipschitz condition, J. Comput. Appl. Math., 151 (2003), 215-227.
doi: 10.1016/S0377-0427(02)00750-1. |
[14] |
X. Mao, C. Yuan and J. Zou, Stochastic differential delay equations of population dynamics, J. Math. Anal. Appl., 304 (2005), 296-320.
doi: 10.1016/j.jmaa.2004.09.027. |
[15] |
F. Wu and S. Hu, A study of a class of nonlinear stochastic delay differential equations, Stoch. Dyn., 10 (2010), 97-118.
doi: 10.1142/S0219493710002875. |
show all references
References:
[1] |
J. A. D. Appleby and A. Rodkina, Asymptotic stability of polynomial stochastic delay differential equations with damped perturbations, Funct. Differ. Equ., 12 (2005), 35-66. |
[2] |
L. Arnold, Random Dynamical Systems, Springer, Berlin, 1998.
doi: 10.1007/978-3-662-12878-7. |
[3] |
V. I. Bogachev, Measure Theory. Vol I, Springer, Berlin, 2007.
doi: 10.1007/978-3-540-34514-5. |
[4] |
I. Gyöngy, A note on Euler's approximations, Potential Anal., 8 (1998), 205-216.
doi: 10.1023/A:1008605221617. |
[5] |
I. Gyöngy and S. Sabanis, A note on Euler approximations for stochastic differential equations with delay, Appl. Math. Optim., 68 (2013), 391-412.
doi: 10.1007/s00245-013-9211-7. |
[6] |
D. J. Higham, X. Mao and A. M. Stuart, Strong convergence of Euler-type methods for nonlinear stochastic differential equations, SIAM J. Numer. Anal., 40 (2002), 1041-1063.
doi: 10.1137/S0036142901389530. |
[7] |
M. Hutzenthaler and A. Jentzen, Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients,, to appear in Mem. Amer. Math. Soc., ().
|
[8] |
A. Jentzen, Pathwise numerical approximations of SPDEs with additive noise under non-global Lipschitz coefficients, Potential. Anal., 31 (2009), 375-404.
doi: 10.1007/s11118-009-9139-3. |
[9] |
A. Jentzen, P. E. Kloeden and A. Neuenkirch, Pathwise approximation of stochastic differential equations on domains: higher order convergence rates without global Lipschitz coefficients, Numer. Math., 112 (2009), 41-64.
doi: 10.1007/s00211-008-0200-8. |
[10] |
P. E. Kloeden, G. Lord, A. Neuenkirch and T. Shardlow, The exponential integrator scheme for stochastic partial differential equations: pathwise error bounds, J. Comput. Appl. Math., 235 (2011), 1245-1260.
doi: 10.1016/j.cam.2010.08.011. |
[11] |
P. E. Kloeden and A. Neuenkirch, The pathwise convergence of approximation schemes for stochastic differential equations, LMS J. Comput. Math., 10 (2007), 235-253.
doi: 10.1112/S1461157000001388. |
[12] |
X. Mao, Stochastic Differential Equations and their Applications, Horwood Publishing, Chichester, 1997. |
[13] |
X. Mao and S. Sabanis, Numerical solutions of stochastic differential delay equations under local Lipschitz condition, J. Comput. Appl. Math., 151 (2003), 215-227.
doi: 10.1016/S0377-0427(02)00750-1. |
[14] |
X. Mao, C. Yuan and J. Zou, Stochastic differential delay equations of population dynamics, J. Math. Anal. Appl., 304 (2005), 296-320.
doi: 10.1016/j.jmaa.2004.09.027. |
[15] |
F. Wu and S. Hu, A study of a class of nonlinear stochastic delay differential equations, Stoch. Dyn., 10 (2010), 97-118.
doi: 10.1142/S0219493710002875. |
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