MS-stability of the Euler--Maruyama method for stochastic differential delay equations

DOI10.1016/j.amc.2003.10.015zbMath1074.65007MaRDI QIDQ702586

Ming-Zhu Liu, Zhencheng Fan, Wan-Rong Cao

Publication date: 17 January 2005

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

Full work available at URL: https://doi.org/10.1016/j.amc.2003.10.015

zbMATH Keywords

mean square stability; Euler-Maruyama method; stochastic differential delay equations

Mathematics Subject Classification ID

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

34K50: Stochastic functional-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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