Title of article
Split-step θ-method for stochastic delay differential equations
Author/Authors
Cao، نويسنده , , Wanrong and Hao، نويسنده , , Peng and Zhang، نويسنده , , Zhongqiang، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2014
Pages
15
From page
19
To page
33
Abstract
In this paper we study the mean-square stability and convergence of the split-step θ-method for stochastic differential equations with fixed time delay. Under mild assumptions, the split-step θ-method is proved to be exponentially mean-square stable and converge with strong order 1/2. Numerical examples show how mean-square stability of the split-step θ-method depends on the parameter θ and the step size h for both linear and nonlinear models.
Keywords
Split-step ?-method , Convergence , Exponential mean-square stability , nonlinear models
Journal title
Applied Numerical Mathematics
Serial Year
2014
Journal title
Applied Numerical Mathematics
Record number
1529884
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