Mean square stability and dissipativity of two classes of theta methods for systems of stochastic delay differential equations

DOI10.1016/j.cam.2013.03.038zbMath1291.65020MaRDI QIDQ2252811

Cheng-Ming Huang

Publication date: 23 July 2014

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.2013.03.038

zbMATH Keywords

exponential stability; dissipativity; mean square stability; stochastic delay differential equations; theta method

Mathematics Subject Classification ID

65L20: Stability and convergence of numerical 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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Uses Software

• RODAS

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