The semimartingale approach to almost sure stability analysis of a two-stage numerical method for stochastic delay differential equation (Q1724553)
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| Language | Label | Description | Also known as |
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| English | The semimartingale approach to almost sure stability analysis of a two-stage numerical method for stochastic delay differential equation |
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The semimartingale approach to almost sure stability analysis of a two-stage numerical method for stochastic delay differential equation (English)
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14 February 2019
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Summary: Almost sure exponential stability of the split-step backward Euler (SSBE) method applied to an Itô-type stochastic differential equation with time-varying delay is discussed by the techniques based on Doob-Mayer decomposition and semimartingale convergence theorem. Numerical experiments confirm the theoretical analysis.
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