Split-step \({\theta}\)-method for stochastic delay differential equations
DOI10.1016/j.apnum.2013.10.003zbMath1288.65006MaRDI 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
convergence; numerical examples; stochastic differential equations; nonlinear models; fixed time delay; exponential mean-square stability; split-step \(\theta\)-method
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
65L20: Stability and convergence of numerical methods for ordinary differential equations
34K50: Stochastic functional-differential equations
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
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