• Title of article

    Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation

  • Author/Authors

    Liu، نويسنده , , Mingzhu and Cao، نويسنده , , Wanrong and Fan، نويسنده , , Zhencheng، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2004
  • Pages
    14
  • From page
    255
  • To page
    268
  • Abstract
    The paper deals with convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation. It is proved that the semi-implicit Euler method is convergent with strong order p=12. The conditions under which the method is MS-stable and GMS-stable are determined and the numerical experiments are given.
  • Keywords
    Semi-implicit Euler method , MS-stability , GMS-stability , Stochastic differential delay equations , Numerical solution
  • Journal title
    Journal of Computational and Applied Mathematics
  • Serial Year
    2004
  • Journal title
    Journal of Computational and Applied Mathematics
  • Record number

    1552675

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=1552675