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

DOI10.1007/S11424-012-0052-2MaRDI QIDQ2391912zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• 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

Cites work

• 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
• Stochastic differential equations and applications.

Cited in

(8)

• Analysis of stability for stochastic delay integro-differential equations
• Stability of the split-step backward Euler scheme for stochastic delay integro-differential equations with Markovian switching
• Convergence and stability of the split-step backward Euler method for linear stochastic delay integro-differential equations
• scientific article; zbMATH DE number 7027615 (Why is no real title available?)
• 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
• The split-step backward Euler method for linear stochastic delay differential equations
• Convergence and stability of split-step θ methods for stochastic variable delay differential equations

This page was built for publication: A note on stability of the split-step backward Euler method for linear stochastic delay integro-differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2391912)