Almost sure exponential stability of an explicit stochastic orthogonal Runge-Kutta-Chebyshev method for stochastic delay differential equations

DOI10.1186/s13662-015-0642-0zbMath1422.65021WikidataQ59434165 ScholiaQ59434165MaRDI QIDQ1622727

Qian Guo, Juan Zhong

Publication date: 19 November 2018

Published in: Advances in Difference Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13662-015-0642-0

zbMATH Keywords

Chebyshev method; Runge-Kutta method; explicit schemes; almost sure stability; stochastic delay differential equations; discrete semimartingale convergence theorem

Mathematics Subject Classification ID

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

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

65C30: Numerical solutions to stochastic differential and integral equations

Uses Software

• S-ROCK