Strong Convergence of Euler Approximations of Stochastic Differential Equations with Delay Under Local Lipschitz Condition

The strong convergence of Euler approximations of stochastic delay differential equations is proved under general conditions. The assumptions on drift and diffusion coefficients have been relaxed to include polynomial growth and only continuity in the arguments corresponding to delays. Furthermore, the rate of convergence is obtained under one-sided and polynomial Lipschitz conditions. Finally, our findings are demonstrated with the help of numerical simulations.     

A Note on the LaSalle-Type Theorems for Stochastic Differential Delay Equations

The main aim of this note is to improve some results obtained in the author's earlier paper (1999, J. Math. Anal. Appl.236, 350-369). From the improved result follow some useful criteria on the stochastic asymptotic stability and boundedness.     

Numerical Approximations of Impulsive Delay Differential Equations

The article deals with numerical approximations of impulsive delay differential equations with a non-fixed time of impulses. The right-hand side of the approximation is assumed to be Lipschitz with respect to the norm of the measurable functions, which allows us to estimate the distance between functions with different times of jumps. Illustrative examples are provided.     

Khasminskii-Type Theorems for Stochastic Differential Delay Equations

Abstract

The classical Khasminskii theorem (see [6 Khasminskii , R. Z. 1980 . Stochastic Stability of Differential Equations . Alphen : Sijtjoff and Noordhoff (translation of the Russian edition, Moscow: Nauka 1969) .[Crossref] , [Google Scholar]]) on the nonexplosion solutions of stochastic differential equations (SDEs) is very important since it gives a powerful test for SDEs to have nonexplosion solutions without the linear growth condition. Recently, Mao [13 Mao , X. 2002 . A note on the LaSalle-type theorems for stochastic differential delay equations . J. Math. Anal. Appl. 268 : 125 – 142 . [CSA] [CROSSREF] [Crossref], [Web of Science ®] , [Google Scholar]] established a Khasminskii-type test for stochastic differential delay equations (SDDEs). However, the Mao test can not still be applied to many important SDDEs, e.g., the stochastic delay power logistic model in population dynamics. The main aim of this paper is to establish an even more general Khasminskii-type test for SDDEs that covers a wide class of highly nonlinear SDDEs. As an application, we discuss a stochastic delay Lotka-Volterra model of the food chain to which none of the existing results but our new Khasminskii-type test can be applied.     

Comparison Theorem for Stochastic Differential Delay Equations with Jumps

In this paper we establish a comparison theorem for stochastic differential delay equations with jumps. An example is constructed to demonstrate that the comparison theorem need not hold whenever the diffusion term contains a delay function although the jump-diffusion coefficient could contain a delay function. Moreover, another example is established to show that the comparison theorem is not necessary to be true provided that the jump-diffusion term is non-increasing with respect to the delay variable.     

延迟微分方程隐式Euler方法的收敛性

本文讨论了用隐式Euler方法求解一类延迟量满足Lipschitz条件且Lipschitz常数小于1的非线性变延迟微分方程初值问题的收敛性.获得了带线性插值的隐式Euler方法的收敛性结果.     

A Note on Homogenization of Ordinary Differential Equations with Delay Term

An approach to homogenization of delay differential equations is proposed. Assuming some dependence between the delay and the micro-scale, the effective equation is explicitly computed. The effective equations of homogenization of delay equations and the respective equations without delay are compared. In either cases, the effective equation is of integro-differential-type. (© 2011 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Neutral Stochastic Differential Delay Equations with Markovian Switching

Abstract

Neutral stochastic differential delay equations (NSDDEs) have recently been studied intensively (see Kolmanovskii, V.B. and Nosov, V.R., Stability and Periodic Modes of Control Systems with Aftereffect; Nauka: Moscow, 1981 and Mao X., Stochastic Differential Equations and Their Applications; Horwood Pub.: Chichester, 1997). Given that many systems are often subject to component failures or repairs, changing subsystem interconnections and abrupt environmental disturbances etc., the structure and parameters of underlying NSDDEs may change abruptly. One way to model such abrupt changes is to use the continuous‐time Markov chains. As a result, the underlying NSDDEs become NSDDEs with Markovian switching which are hybrid systems. So far little is known about the NSDDEs with Markovian switching and the aim of this paper is to close this gap. In this paper we will not only establish a fundamental theory for such systems but also discuss some important properties of the solutions e.g. boundedness and stability.     

随机微分方程欧拉格式算法分析

首先给出了线性随机微分方程的欧拉格式算法,然后给出了非线性随机微分方程变步长的欧拉格式算法,接着讨论了其对初值的连续依赖性和收敛性.     

Strong Predictor-Corrector Approximation for Stochastic Delay Differential Equations

This paper presents a strong predictor-corrector method for the numerical solution of stochastic delay differential equations (SDDEs) of Itô-type. The method is proved to be mean-square convergent of order min{$1/2, \hat{p}$} under the Lipschitz condition and the linear growth condition, where $\hat{p}$ is the exponent of Hölder condition of the initial function. Stability criteria for this type of method are derived. It is shown that for certain choices of the flexible parameter $p$ the derived method can have a better stability property than more commonly used numerical methods. That is, for some $p$, the asymptotic MS-stability bound of the method will be much larger than that of the Euler-Maruyama method. Numerical results are reported confirming convergence properties and comparing stability properties of methods with different parameters $p$. Finally, the vectorised simulation is discussed and it is shown that this implementation is much more efficient.     

Particle Approximations for a Class of Stochastic Partial Differential Equations

The paper presents a particle approximation for a class of nonlinear stochastic partial differential equations. The work is motivated by and applied to nonlinear filtering. The new results permit the treatment of filtering problems where the signal noise is no longer independent of the observation noise.     

无限时滞随机泛函微分方程的Razumikhin型定理

在无限时滞的随机泛函微分方程整体解存在的前提下,建立了一般衰减稳定性的Razumikhin型定理.在此基础上,基于局部Lipschitz条件和多项式增长条件,得到了无限时滞随机泛函微分方程整体解的存在唯一性,以及具有一般衰减速率的p阶矩和几乎必然渐近稳定性定理.     

Multi-Step Maruyama Methods for Stochastic Delay Differential Equations

Abstract

In this article the numerical approximation of solutions of Itô stochastic delay differential equations is considered. We construct stochastic linear multi-step Maruyama methods and develop the fundamental numerical analysis concerning their 𝕃 _p -consistency, numerical 𝕃 _p -stability and 𝕃 _p -convergence. For the special case of two-step Maruyama schemes we derive conditions guaranteeing their mean-square consistency.     

马尔可夫调制的随机时滞微分方程的吸引性

利用It(o)公式和局部鞅收敛定理,确立了马尔可夫调制的随机时滞微分方程吸引性的充分条件;通过适当将条件加强,从而得到了方程更好的吸引性.同时为有界性和稳定性的新准则的确立奠定了基础.     

带Markov调制的随机微分延迟方程的稳定性

本文采用了一例特定的Lyapunov函数,来研究带Markov调制的随机微分延迟方程的p阶指数稳定性,并对其几乎必然指数稳定性也进行了探讨.     

Numerical Solutions of Stochastic Differential Delay Equations with Jumps

Abstract

In this article, we investigate the strong convergence of the Euler–Maruyama method and stochastic theta method for stochastic differential delay equations with jumps. Under a global Lipschitz condition, we not only prove the strong convergence, but also obtain the rate of convergence. We show strong convergence under a local Lipschitz condition and a linear growth condition. Moreover, it is the first time that we obtain the rate of the strong convergence under a local Lipschitz condition and a linear growth condition, i.e., if the local Lipschitz constants for balls of radius R are supposed to grow not faster than log R.     

General Full Implicit Strong Taylor Approximations for Stiff Stochastic Differential Equations

In this paper, we present the backward stochastic Taylor expansions for a Ito process, including backward Ito-Taylor expansions and backward Stratonovich-Taylor expansions. We construct the general full implicit strong Taylor approximations (including Ito-Taylor and Stratonovich-Taylor schemes) with implicitness in both the deterministic and the stochastic terms for the stiff stochastic differential equations (SSDE) by employing truncations of backward stochastic Taylor expansions. We demonstrate that these schemes will converge strongly with corresponding order $1,2,3,\ldots$ Mean-square stability has been investigated for full implicit strong Stratonovich-Taylor scheme with order $2$, and it has larger mean-square stability region than the explicit and the semi-implicit strong Stratonovich-Taylor schemes with order $2$. We can improve the stability of simulations considerably without too much additional computational effort by using our full implicit schemes. The full implicit strong Taylor schemes allow a larger range of time step sizes than other schemes and are suitable for SSDE with stiffness on both the drift and the diffusion terms. Our numerical experiment shows these points.     

The Improved LaSalle-Type Theorems for Stochastic Differential Delay Equations

The main aim of this article is to deal with the almost-sure stability of stochastic differential delay equations. Our improved theorems give better results while conditions imposed on the Lyapunov function are much weaker, thus, it is easier to find a right Lyapunov function in application.     

非线性变延迟微分方程隐式Euler方法的数值稳定性

在减弱对非线性刚性变延迟微分方程初值问题本身的约束条件的前提下 ,将已有的文献中隐式Euler方法数值稳定性的结论由常延迟的情形推广到了变延迟的情形 ,证明了隐式Euler方法是稳定的