Split-step \({\theta}\)-method for stochastic delay differential equations
DOI10.1016/j.apnum.2013.10.003zbMath1288.65006OpenAlexW2013859220MaRDI QIDQ2448647
Zhongqiang Zhang, Peng Hao, Wan-Rong Cao
Publication date: 5 May 2014
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.apnum.2013.10.003
convergencenumerical examplesstochastic differential equationsnonlinear modelsfixed time delayexponential mean-square stabilitysplit-step \(\theta\)-method
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items (16)
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