Stability of Heun's method for solving stochastic differential equations with variable delay

DOI10.3969/J.ISSN.1003-5060.2010.07.035MaRDI QIDQ3017113zbMATH OpenFDO

Authors Feng Yin, Pengfei Wang, Xiao-Lin Lin

Publication date 19 July 2011

Full work available at URL https://doi.org/10.3969/J.ISSN.1003-5060.2010.07.035

zbMATH Keywords

exponential stabilityHeun's methodmean-square stabilitystochastic differential equation with variable delay

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) 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) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Stability and convergence of numerical methods for ordinary differential equations (65L20)

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• Mean square stability of the Heun method for solving nonlinear stochastic delay differential equations with a variable delay
• Numerical stability of Heun's method for nonlinear stochastic delay differential equations
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Cited in

(8)

• T-stability of the Heun method and balanced method for solving stochastic differential delay equations
• Mean-square convergence of Heun method for stochastic delay differential equation with Poisson jumps
• Numerical stability of Heun's method for nonlinear stochastic delay differential equations
• Stability of -Heun methods for nonlinear stochastic delay differential equations
• scientific article; zbMATH DE number 7403939 (Why is no real title available?)
• Stability of the Heun methods for solving stochastic differential equations
• Mean square stability of the Heun method for solving nonlinear stochastic delay differential equations with a variable delay
• T-stability of the Heun method for solving stochastic differential delay equations

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