Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation (Q596201)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation |
scientific article; zbMATH DE number 2085568
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation |
scientific article; zbMATH DE number 2085568 |
Statements
Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation (English)
0 references
10 August 2004
0 references
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.
0 references
stochastic differential delay equations
0 references
semi-implicit Euler method
0 references
mean square stability
0 references
numerical results
0 references
0 references
0 references
0 references
0 references
