Projected Euler-Maruyama method for stochastic delay differential equations under a global monotonicity condition
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DOI: 10.1016/j.amc.2019.124733
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References listed on IDEAS
- Tan, Li & Yuan, Chenggui, 2018. "Strong convergence of a tamed theta scheme for NSDDEs with one-sided Lipschitz drift," Applied Mathematics and Computation, Elsevier, vol. 338(C), pages 607-623.
- Li, Xiuping & Cao, Wanrong, 2015. "On mean-square stability of two-step Maruyama methods for nonlinear neutral stochastic delay differential equations," Applied Mathematics and Computation, Elsevier, vol. 261(C), pages 373-381.
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Cited by:
- Zhenyu Wang & Qiang Ma & Xiaohua Ding, 2020. "Simulating Stochastic Differential Equations with Conserved Quantities by Improved Explicit Stochastic Runge–Kutta Methods," Mathematics, MDPI, vol. 8(12), pages 1-15, December.
- Zhao, Jingjun & Yi, Yulian & Xu, Yang, 2021. "Strong convergence of explicit schemes for highly nonlinear stochastic differential equations with Markovian switching," Applied Mathematics and Computation, Elsevier, vol. 398(C).
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Keywords
Stochastic delay differential equation; Projected Euler-Maruyama method; Strong convergence; C-Stability; B-Consistency;All these keywords.
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