Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4638459 | Journal of Computational and Applied Mathematics | 2015 | 17 Pages |
Abstract
This paper can be regarded as the continuation of the work contained in papers MiloÅ¡eviÄ (2011, 2013). At the same time, it represents the extension of the paper Wu et al. (2010). In this paper, the one-sided Lipschitz condition is employed in the context of the backward Euler method, for a class of neutral stochastic differential equations with constant delay. Sufficient conditions for this method to be well defined are revealed. Under certain nonlinear growth conditions, the convergence in probability is established for the continuous forward-backward Euler method, as well as for the discrete backward Euler method. Additionally, it is proved that the discrete backward Euler equilibrium solution is globally a.s. asymptotically exponentially stable, without requiring for the drift coefficient to satisfy the linear growth condition.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Marija MiloÅ¡eviÄ,