Implicit numerical solutions to neutral-type stochastic systems with superlinearly growing coefficients

Shaobo Zhou, Hai Jin*

*此作品的通讯作者

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4 引用 （Scopus）
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摘要

In this paper, our main aim is to investigate the stability and strong convergence of an implicit numerical approximations for neutral-type stochastic differential equations with superlinearly growing coefficients. After providing moment boundedness and exponential stability for the exact solutions, we show that the backward Euler–Maruyama numerical method preserves stability and boundedness of moments, and the numerical approximations converge strongly to the true solutions for sufficiently small step size.

源语言英语
页（从-至）423-441
页数19
期刊Journal of Computational and Applied Mathematics
卷350
DOI
出版状态已出版 - 4月 2019

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引用此

Zhou, S., & Jin, H. (2019). Implicit numerical solutions to neutral-type stochastic systems with superlinearly growing coefficients. Journal of Computational and Applied Mathematics, 350, 423-441. https://doi.org/10.1016/j.cam.2018.10.029