The improved split-step backward Euler method for stochastic differential delay equations

DOI10.1080/00207160.2010.538388zbMath1235.65010arXiv1107.0571MaRDI QIDQ3101629

Xiao-Jie Wang, Si-qing Gan

Publication date: 29 November 2011

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1107.0571

zbMATH Keywords

strong convergence; mean-square stability; split-step backward Euler method; one-sided Lipschitz condition; stochastic differential delay equations

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

65L06: Multistep, Runge-Kutta and extrapolation methods for ordinary 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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