Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation

DOI10.1016/J.CAM.2004.01.040MaRDI QIDQ596201zbMATH OpenOpenAlexWikidataFDO

Authors M. Z. Liu, Zhencheng Fan, Wanrong Cao

Publication date 10 August 2004

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.2004.01.040

zbMATH Keywords

numerical resultsmean square stabilitystochastic differential delay equationssemi-implicit Euler method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) 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)

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