Split-step theta method for stochastic delay integro-differential equations with mean square exponential stability
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DOI: 10.1016/j.amc.2019.01.073
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- David G. Hobson & L. C. G. Rogers, 1998. "Complete Models with Stochastic Volatility," Mathematical Finance, Wiley Blackwell, vol. 8(1), pages 27-48, January.
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Cited by:
- Yu Zhang & Enying Zhang & Longsuo Li, 2022. "The Improved Stability Analysis of Numerical Method for Stochastic Delay Differential Equations," Mathematics, MDPI, vol. 10(18), pages 1-7, September.
- Song, Minghui & Geng, Yidan & Liu, Mingzhu, 2021. "Stability equivalence among stochastic differential equations and stochastic differential equations with piecewise continuous arguments and corresponding Euler-Maruyama methods," Applied Mathematics and Computation, Elsevier, vol. 400(C).
- Li, Zhao-Yan & Shang, Shengnan & Lam, James, 2019. "On stability of neutral-type linear stochastic time-delay systems with three different delays," Applied Mathematics and Computation, Elsevier, vol. 360(C), pages 147-166.
- Amr Abosenna & Ghada AlNemer & Boping Tian, 2024. "Convergence and Almost Sure Polynomial Stability of Partially Truncated Split-Step Theta Method for Stochastic Pantograph Models with Lévy Jumps," Mathematics, MDPI, vol. 12(13), pages 1-16, June.
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Keywords
Stochastic differential equations; Delay; Integro-differential equations; Split-step theta method; Mean square exponential stability; Convergence;All these keywords.
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