The split-step backward Euler method for linear stochastic delay differential equations

DOI10.1016/j.cam.2008.08.032zbMath1183.65007MaRDI QIDQ1006019

Lin Hu, Haomin Zhang, Si-qing Gan

Publication date: 17 March 2009

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2008.08.032

zbMATH Keywords

numerical examples; mean-square stability; finite-time convergence; stochastic delay differential equation; split-step backward Euler method

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

65L20: Stability and convergence of numerical methods for ordinary differential equations

34K50: Stochastic functional-differential equations

34F05: Ordinary differential equations and systems with randomness

65L06: Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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