T-stability of the Heun method for solving stochastic differential delay equations

DOI10.3969/J.ISSN.1003-5060.2014.05.026MaRDI QIDQ5497489zbMATH OpenFDO

Authors Hu Peng, Xiaolin Zhu

Publication date 11 February 2015

Full work available at URL https://doi.org/10.3969/J.ISSN.1003-5060.2014.05.026

zbMATH Keywords

Heun methodlinear test stochastic differential delay equationstochastic differential delay equationT-stability

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Recommendations

• T-stability of the Heun method and balanced method for solving stochastic differential delay equations
• Numerical stability of Heun's method for nonlinear stochastic delay differential equations
• Stability of Heun's method for solving stochastic differential equations with variable delay
• Stability of -Heun methods for nonlinear stochastic delay differential equations
• T-stability of numerical solutions for linear stochastic differential equations with delay

Cited in

(6)

• 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 of Heun's method for solving stochastic differential equations with variable delay
• Numerical stability of Heun's method for nonlinear stochastic delay differential equations
• \(T\)-stability of the \(\theta\)-method for a stochastic pantograph differential equation
• Mean square stability of the Heun method for solving nonlinear stochastic delay differential equations with a variable delay

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