An analysis of stability of milstein method for stochastic differential equations with delay

Computers & Mathematics with Applications ◽

10.1016/j.camwa.2006.01.004 ◽

2006 ◽

Vol 51 (9-10) ◽

pp. 1445-1452 ◽

Author(s):

Zhiyong Wang ◽

Chengjian Zhang

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Milstein Method ◽

Analysis Of Stability ◽

Equations With Delay

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Invariant measures of the Milstein method for stochastic differential equations with commutative noise

Applied Mathematics and Computation ◽

10.1016/j.amc.2019.04.049 ◽

2019 ◽

Vol 358 ◽

pp. 169-176

Author(s):

Lihui Weng ◽

Wei Liu

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Invariant Measures ◽

Milstein Method

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On equations determining the second moments of solutions of stochastic differential equations with delay

Ukrainian Mathematical Journal ◽

10.1007/bf01085845 ◽

1975 ◽

Vol 27 (1) ◽

pp. 75-77

Author(s):

V. B. Kolmanovskii

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Second Moments ◽

Equations With Delay

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An improved Milstein method for stiff stochastic differential equations

Advances in Difference Equations ◽

10.1186/s13662-015-0699-9 ◽

2015 ◽

Vol 2015 (1) ◽

Author(s):

Zhengwei Yin ◽

Siqing Gan

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Milstein Method

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Infinite horizon optimal control of forward–backward stochastic differential equations with delay

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2013.04.048 ◽

2014 ◽

Vol 259 ◽

pp. 336-349 ◽

Author(s):

Nacira Agram ◽

Bernt Øksendal

Keyword(s):

Optimal Control ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Infinite Horizon ◽

Backward Stochastic Differential Equations ◽

Equations With Delay

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Asymptotical boundedness and stability for stochastic differential equations with delay driven byG-Brownian motion

Applied Mathematics Letters ◽

10.1016/j.aml.2017.06.001 ◽

2017 ◽

Vol 74 ◽

pp. 121-126 ◽

Author(s):

Wensheng Yin ◽

Yong Ren

Keyword(s):

Brownian Motion ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Equations With Delay

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A Note on Euler Approximations for Stochastic Differential Equations with Delay

Applied Mathematics & Optimization ◽

10.1007/s00245-013-9211-7 ◽

2013 ◽

Vol 68 (3) ◽

pp. 391-412 ◽

Author(s):

Istvan Gyöngy ◽

Sotirios Sabanis

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Equations With Delay

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A randomized Milstein method for stochastic differential equations with non-differentiable drift coefficients

Discrete & Continuous Dynamical Systems - B ◽

10.3934/dcdsb.2018253 ◽

2019 ◽

Vol 24 (8) ◽

pp. 3475-3502 ◽

Author(s):

Raphael Kruse ◽

◽

Yue Wu

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Milstein Method

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Stability Analysis of Stochastic Dynamic Systems under Poisson Perturbations. I. General Analysis of Stability of Solutions of Stochastic Differential Equations under Poisson Perturbations

Cybernetics and Systems Analysis ◽

10.1007/s10559-005-0088-6 ◽

2005 ◽

Vol 41 (4) ◽

pp. 531-540

Author(s):

I. V. Darijtchuk ◽

V. K. Jasynsky ◽

E. V. Jasynsky

Keyword(s):

Stability Analysis ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Dynamic Systems ◽

General Analysis ◽

Stochastic Dynamic ◽

Stability Of Solutions ◽

Analysis Of Stability ◽

Stochastic Dynamic Systems

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Truncated Milstein method for non-autonomous stochastic differential equations and its modification

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2021.113817 ◽

2021 ◽

pp. 113817

Author(s):

Juan Liao ◽

Wei Liu ◽

Xiaoyan Wang

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Milstein Method

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The truncated Milstein method for stochastic differential equations with commutative noise

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2018.01.014 ◽

2018 ◽

Vol 338 ◽

pp. 298-310 ◽

Author(s):

Qian Guo ◽

Wei Liu ◽

Xuerong Mao ◽

Rongxian Yue

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Milstein Method

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