Asymptotic mean-square stability of explicit Runge-Kutta Maruyama methods for stochastic delay differential equations

DOI10.1016/J.CAM.2015.10.014MaRDI QIDQ898968zbMATH OpenOpenAlexFDO

Authors Qian Guo, Mingming Qiu, Taketomo Mitsui

Publication date 21 December 2015

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.2015.10.014

zbMATH Keywords

mean-square stabilitystabilized methodstochastic delay differential equationsexplicit Runge-Kutta-Maruyama method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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 functional-differential equations (65L03)

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Cites work

• scientific article; zbMATH DE number 54145 (Why is no real title available?)
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• scientific article; zbMATH DE number 3999169 (Why is no real title available?)
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Cited in

(5)

• Delay dependent stability of stochastic split-step \(\theta\) methods for stochastic delay differential equations
• Delay-dependent stability of predictor-corrector methods of Runge-Kutta type for stochastic delay differential equations
• S-ROCK methods for stochastic delay differential equations with one fixed delay
• Almost sure exponential stability of an explicit stochastic orthogonal Runge-Kutta-Chebyshev method for stochastic delay differential equations
• Delay dependent asymptotic mean square stability analysis of the stochastic exponential Euler method

Describes a project that uses

Uses Software

• S-ROCK
• RODAS

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