A note on stability of the split-step backward Euler method for linear stochastic delay integro-differential equations

DOI10.1007/S11424-012-0052-2zbMATH Open1269.93142OpenAlexW2150340402MaRDI QIDQ2391912FDOQ2391912

Authors: Feng Jiang, Yi Shen, Xiaoxin Liao 

Publication date: 5 August 2013

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-012-0052-2

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• Convergence and stability of the split-step backward Euler method for linear stochastic delay integro-differential equations
• The split-step backward Euler method for linear stochastic delay differential equations
• Stability of stochastic \(\theta \)-methods for stochastic delay integro-differential equations
• Mean-square exponential stability of an improved split-step backward Euler method for stochastic delay integro-differential equations
• Stability of the split-step backward Euler scheme for stochastic delay integro-differential equations with Markovian switching

zbMATH Keywords

numerical methodmean-square stabilityEuler methodlinear stochastic delaylinear stochastic delay integro-differential equations (SDIDEs)split-step backward Euler (SSBE) method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic stability in control theory (93E15)

Cites Work

• Stochastic differential equations and applications.
• Convergence and stability of the semi-implicit Euler method for linear stochastic delay integro-differential equations
• Convergence and stability of the split-step backward Euler method for linear stochastic delay integro-differential equations
• Mean-square stability of Milstein method for linear hybrid stochastic delay integro-differential equations

Cited In (8)

• Analysis of stability for stochastic delay integro-differential equations
• Convergence and stability of the split-step backward Euler method for linear stochastic delay integro-differential equations
• Stability of the split-step backward Euler scheme for stochastic delay integro-differential equations with Markovian switching
• Title not available (Why is that?)
• Almost sure and \(L^p\) convergence of split-step backward Euler method for stochastic delay differential equation
• Mean-square exponential stability of an improved split-step backward Euler method for stochastic delay integro-differential equations
• Convergence and stability of split-step θ methods for stochastic variable delay differential equations
• The split-step backward Euler method for linear stochastic delay differential equations

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