Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation (Q596201)
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| Language | Label | Description | Also known as |
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| English | Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation |
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Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation (English)
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10 August 2004
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The authors prove conditions under which the semi-implicit Euler method has strong order of convergence 1/2 for scalar, linear stochastic differential delay equations. They also investigate mean square stability in terms of the stepsize of the method and the problem parameters. Numerical results illustrate some of the theory.
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stochastic differential delay equations
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semi-implicit Euler method
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mean square stability
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numerical results
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