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

Shaobo Zhou, Hai Jin*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

4 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)423-441
Number of pages19
JournalJournal of Computational and Applied Mathematics
Volume350
DOIs
Publication statusPublished - Apr 2019

Keywords

  • Backward Euler–Maruyama method
  • Exponential stability
  • Neutral-type stochastic differential equation
  • Polynomial growth condition
  • Strong convergence

Fingerprint

Dive into the research topics of 'Implicit numerical solutions to neutral-type stochastic systems with superlinearly growing coefficients'. Together they form a unique fingerprint.

Cite this