Stability of the split-step backward Euler scheme for stochastic delay integro-differential equations with Markovian switching

DOI10.1016/j.cnsns.2010.04.034zbMath1221.65016MaRDI QIDQ718385

Yi Shen, Feng Jiang, Junhao Hu

Publication date: 23 September 2011

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2010.04.034

zbMATH Keywords

stochastic delay integro-differential equations; general mean-square stable; mean-square stable; split-step backward Euler scheme

Mathematics Subject Classification ID

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

65C30: Numerical solutions to stochastic differential and integral equations

60J27: Continuous-time Markov processes on discrete state spaces

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