T-stability of split-step backward Euler method for stochastic delay differential equations

MaRDI QIDQ4926731zbMATH OpenFDO

Authors Qi Wang

Publication date 20 June 2013

zbMATH Keywords

delay differential equationsdifference equationdriving processEuler methodstochastic differential equationsT-stability

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

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Cited in

(7)

• The split-step backward Euler method for linear stochastic delay differential equations
• Almost sure and \(L^p\) convergence of split-step backward Euler method for stochastic delay differential equation
• T-stability of the Heun method and balanced method for solving stochastic differential delay equations
• T-stability of numerical solutions for linear stochastic differential equations with delay
• Stability analysis of split-step forward Euler method for linear stochastic delay differential equations
• Stability of the split-step backward Euler scheme for stochastic delay integro-differential equations with Markovian switching
• T-stability of the semi-implicit Euler method for delay differential equations with multiplicative noise

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