Convergence and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments

DOI10.1016/j.cam.2016.11.033zbMath1376.60066MaRDI QIDQ507963

Yong-Cai Geng, Sumit K. Garg

Publication date: 9 February 2017

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2016.11.033

zbMATH Keywords

exponential mean square stability; monotone condition; convergence of the SST method; split-step theta (SST) method; stochastic differential equations with piecewise continuous arguments

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

65L20: Stability and convergence of numerical methods for ordinary differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

Uses Software

• RODAS