On L^p-stability of numerical schemes for linear stochastic delay differential equations

zbMATH Open1102.65005MaRDI QIDQ5395000FDOQ5395000

Hagen Gilsing

Publication date: 1 November 2006

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• Strong Predictor-Corrector Approximation for Stochastic Delay Differential Equations

zbMATH Keywords

asymptotic behaviourasymptotic stabilitystochastic linear recurrence relations

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) Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical methods for initial value problems involving ordinary differential equations (65L05)

Cited In (3)

• Equivalence of \(p\)th moment stability between stochastic differential delay equations and their numerical methods
• T-stability of numerical solutions for linear stochastic differential equations with delay
• The semimartingale approach to almost sure stability analysis of a two-stage numerical method for stochastic delay differential equation

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