A note on stability of the split-step backward Euler method for linear stochastic delay integro-differential equations
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Publication:2391912
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
numerical method; Euler method; mean-square stability; linear stochastic delay; linear stochastic delay integro-differential equations (SDIDEs); split-step backward Euler (SSBE) method
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E15: Stochastic stability in control theory
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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
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- 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