The partially truncated Euler–Maruyama method for nonlinear pantograph stochastic differential equations

Weijun Zhan, Yan Gao, Qian Guo and Xiaofeng Yao

Applied Mathematics and Computation, 2019, vol. 346, issue C, 109-126

Abstract: This paper develops the partially truncated Euler–Maruyama method for a class of highly nonlinear pantograph stochastic differential equations under the generalized Khasminskii-type conditions. The order of Lp-convergence is obtained. Moreover, some almost sure polynomial stability and mean square polynomial stability criteria are established for the numerical solution. Numerical examples are provided to illustrate the theoretical results.

Keywords: Pantograph stochastic differential equation; Partially truncated Euler–Maruyama method; Khasminskii-type condition; Polynomial stability (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:346:y:2019:i:c:p:109-126

DOI: 10.1016/j.amc.2018.10.052

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