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

DOI10.1016/j.cam.2015.10.014zbMath1329.60235MaRDI QIDQ898968

Taketomo Mitsui, Qian Guo, Mingming Qiu

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 stability; stabilized method; stochastic delay differential equations; explicit Runge-Kutta-Maruyama method

Mathematics Subject Classification ID

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

65L20: Stability and convergence of numerical methods for ordinary differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

65L03: Numerical methods for functional-differential equations

Uses Software

• RODAS
• S-ROCK