IDEAS home Printed from https://ideas.repec.org/a/eee/apmaco/v266y2015icp441-461.html
   My bibliography  Save this article

Exponential stability of numerical solution to neutral stochastic functional differential equation

Author

Listed:
  • Zhou, Shaobo

Abstract

Stability of the solution to neutral stochastic functional differential equation (NSFDE) has received a great deal of attention, but there is so far little work on stability of numerical solution. To close the gap, the paper develops new criteria on stability of numerical solutions to linear and nonlinear NSFDEs. We show that the backward Euler–Maruyama(EM) method can reproduce the almost surely exponential stability of the exact solution to highly nonlinear NSFDE, and EM method can preserve the almost surely exponential stability of NSFDE with linear growing coefficients. Two examples are provided to illustrate the main results.

Suggested Citation

  • Zhou, Shaobo, 2015. "Exponential stability of numerical solution to neutral stochastic functional differential equation," Applied Mathematics and Computation, Elsevier, vol. 266(C), pages 441-461.
    • Handle: RePEc:eee:apmaco:v:266:y:2015:i:c:p:441-461
    DOI: 10.1016/j.amc.2015.05.041
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S009630031500658X
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.amc.2015.05.041?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. 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.
    2. Chen, Weimin & Zhang, Baoyong & Ma, Qian, 2018. "Decay-rate-dependent conditions for exponential stability of stochastic neutral systems with Markovian jumping parameters," Applied Mathematics and Computation, Elsevier, vol. 321(C), pages 93-105.
    3. Li, Guangjie & Yang, Qigui, 2021. "Stability analysis of the θ-method for hybrid neutral stochastic functional differential equations with jumps," Chaos, Solitons & Fractals, Elsevier, vol. 150(C).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:apmaco:v:266:y:2015:i:c:p:441-461. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: https://www.journals.elsevier.com/applied-mathematics-and-computation .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.