Delay-dependent stability analysis of numerical methods for stochastic delay differential equations (Q425348): Difference between revisions
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The mean square asymptotic stability condition in terms of the coefficients of the linear stochastic delay differential equation (SDDE) has been given by \textit{J. A. D. Appleby, X. Mao} and \textit{M. Riedle} [Proc. Am. Math. Soc. 137, No. 1, 339--348 (2009; Zbl 1156.60045)], of which the deterministic part involves no delay. In the present paper, the mean square asymptotic stability of the numerical algorithm of a discretization approximation, so called \( \theta \) method, of the above SDDE is studied, where the \( \theta \) method uses the sum of weight \( \theta \) and weight \(1- \theta \) of the forward and backward discretization approximation respectively for the deterministic integral. The asymptotic stability condition is then obtained by analyzing the characteristic equation of the difference equation of the mean square sequence, It is proven that the backward Euler method preserves this property, while the Euler-Maruyama method preserves the instability property. Examples are illustrated. | |||
Property / review text: The mean square asymptotic stability condition in terms of the coefficients of the linear stochastic delay differential equation (SDDE) has been given by \textit{J. A. D. Appleby, X. Mao} and \textit{M. Riedle} [Proc. Am. Math. Soc. 137, No. 1, 339--348 (2009; Zbl 1156.60045)], of which the deterministic part involves no delay. In the present paper, the mean square asymptotic stability of the numerical algorithm of a discretization approximation, so called \( \theta \) method, of the above SDDE is studied, where the \( \theta \) method uses the sum of weight \( \theta \) and weight \(1- \theta \) of the forward and backward discretization approximation respectively for the deterministic integral. The asymptotic stability condition is then obtained by analyzing the characteristic equation of the difference equation of the mean square sequence, It is proven that the backward Euler method preserves this property, while the Euler-Maruyama method preserves the instability property. Examples are illustrated. / rank | |||
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Property / reviewed by: Gong Guanglu / rank | |||
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Property / Mathematics Subject Classification ID: 65C30 / rank | |||
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Property / Mathematics Subject Classification ID: 60H35 / rank | |||
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Property / Mathematics Subject Classification ID: 60H10 / rank | |||
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Property / Mathematics Subject Classification ID: 34K50 / rank | |||
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Property / Mathematics Subject Classification ID: 34K06 / rank | |||
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Property / Mathematics Subject Classification ID: 65L20 / rank | |||
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Property / Mathematics Subject Classification ID: 65L12 / rank | |||
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Property / zbMATH DE Number: 6043619 / rank | |||
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theta method | |||
Property / zbMATH Keywords: theta method / rank | |||
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delay-dependent stability | |||
Property / zbMATH Keywords: delay-dependent stability / rank | |||
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numerical examples | |||
Property / zbMATH Keywords: numerical examples / rank | |||
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mean square asymptotic stability | |||
Property / zbMATH Keywords: mean square asymptotic stability / rank | |||
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linear stochastic delay differential equation | |||
Property / zbMATH Keywords: linear stochastic delay differential equation / rank | |||
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algorithm | |||
Property / zbMATH Keywords: algorithm / rank | |||
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difference equation | |||
Property / zbMATH Keywords: difference equation / rank | |||
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backward Euler method | |||
Property / zbMATH Keywords: backward Euler method / rank | |||
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Euler-Maruyama method | |||
Property / zbMATH Keywords: Euler-Maruyama method / rank | |||
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Revision as of 22:38, 29 June 2023
scientific article
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English | Delay-dependent stability analysis of numerical methods for stochastic delay differential equations |
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Delay-dependent stability analysis of numerical methods for stochastic delay differential equations (English)
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8 June 2012
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The mean square asymptotic stability condition in terms of the coefficients of the linear stochastic delay differential equation (SDDE) has been given by \textit{J. A. D. Appleby, X. Mao} and \textit{M. Riedle} [Proc. Am. Math. Soc. 137, No. 1, 339--348 (2009; Zbl 1156.60045)], of which the deterministic part involves no delay. In the present paper, the mean square asymptotic stability of the numerical algorithm of a discretization approximation, so called \( \theta \) method, of the above SDDE is studied, where the \( \theta \) method uses the sum of weight \( \theta \) and weight \(1- \theta \) of the forward and backward discretization approximation respectively for the deterministic integral. The asymptotic stability condition is then obtained by analyzing the characteristic equation of the difference equation of the mean square sequence, It is proven that the backward Euler method preserves this property, while the Euler-Maruyama method preserves the instability property. Examples are illustrated.
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theta method
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delay-dependent stability
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numerical examples
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mean square asymptotic stability
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linear stochastic delay differential equation
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algorithm
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difference equation
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backward Euler method
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Euler-Maruyama method
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