Convergence and stability of the split-step backward Euler method for linear stochastic delay integro-differential equations

DOI10.1016/j.mcm.2009.11.020zbMath1190.65012MaRDI QIDQ984198

Hong-li Wang, Jian-Guo Tan

Publication date: 16 July 2010

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2009.11.020

zbMATH Keywords

numerical solution; mean-square stability; split-step backward Euler method; stochastic delay integro-differential equations

Mathematics Subject Classification ID

65C30: Numerical solutions to stochastic differential and integral equations

60H99: Stochastic analysis

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