Mean square stability of semi-implicit Euler method for linear stochastic differential equations with multiple delays and Markovian switching

DOI10.1016/j.amc.2008.10.014zbMath1159.65011OpenAlexW2011173667MaRDI QIDQ2378721

A. Rathinasamy, Krishnan Balachandran

Publication date: 14 January 2009

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

Full work available at URL: https://doi.org/10.1016/j.amc.2008.10.014

zbMATH Keywords

mean-square stabilityMarkovian switchingstochastic differential delay equationssemi-implicit Euler method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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