Numerical stability of Heun's method for nonlinear stochastic delay differential equations

zbMATH Open1240.65013MaRDI QIDQ3109095FDOQ3109095

Authors: Wenqiang Wang, Yanping Chen 

Publication date: 27 January 2012

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• Stability of Heun's method for solving stochastic differential equations with variable delay
• Stability of \(\theta\)-Heun methods for nonlinear stochastic delay differential equations
• Mean square stability of the Heun method for solving nonlinear stochastic delay differential equations with a variable delay
• T-stability of the Heun method for solving stochastic differential delay equations
• Mean-square stability of Milstein method for solving nonlinear stochastic delay differential equations

zbMATH Keywords

interpolationnumerical examplesMS-stabilitystochastic delay differential equationsHeun's methodexponential mean-square stabilityGMS-stability

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Cited In (9)

• Stability of \(\theta\)-Heun methods for nonlinear stochastic delay differential equations
• T-stability of the Heun method and balanced method for solving stochastic differential delay equations
• Stability of the Heun methods for solving stochastic differential equations
• Mean square stability of the Heun method for solving nonlinear stochastic delay differential equations with a variable delay
• Mean-square convergence of Heun method for stochastic delay differential equation with Poisson jumps
• Comparison of different time discretization schemes for solving the Allen-Cahn equation
• Stability of Heun's method for solving stochastic differential equations with variable delay
• Mean-square stability of Milstein method for solving nonlinear stochastic delay differential equations
• T-stability of the Heun method for solving stochastic differential delay equations

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