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

DOI10.1007/s11424-012-0052-2zbMath1269.93142MaRDI QIDQ2391912

Feng Jiang, Yi Shen, Xiao-Xin 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 method; Euler method; mean-square stability; linear stochastic delay; linear stochastic delay integro-differential equations (SDIDEs); split-step backward Euler (SSBE) method

Mathematics Subject Classification ID

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

93E15: Stochastic stability in control theory

Related Items

Convergence and stability of split-step θ methods for stochastic variable delay differential equations, Analysis of stability for stochastic delay integro-differential equations

Cites Work

• Unnamed Item
• 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
• Convergence and stability of the semi-implicit Euler method for linear stochastic delay integro-differential equations