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

zbMATH Keywords

convergence; numerical examples; stochastic differential equations; nonlinear models; fixed time delay; exponential mean-square stability; split-step \(\theta\)-method

Mathematics Subject Classification ID

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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