Mean square stability of semi-implicit Euler method for linear stochastic differential equations with multiple delays and Markovian switching (Q2378721): Difference between revisions

Conditions implying mean square stability and general mean square stability are derived for semi-implicit Euler methods for approximating the solution of the \(d\)-dimensional Itô stochastic differential equation with multiple positive fixed delays and Markov switching \[ dx(t)=f(x(t),x(t-\tau_1),\dots,x(t-\tau_k), t,r(t))dt+g(x(t),x(t-\tau_1),\dots,x(t-\tau_k), t,r(t))dw(t). \] Figures summarizing data for a one-dimensional test equation illustrate how stability is dependent on stepsize and on the version of semi-implicit Euler method used.