Delay dependent stability of stochastic split-step \(\theta\) methods for stochastic delay differential equations

DOI10.1016/j.amc.2018.07.064zbMath1429.65017OpenAlexW2888208370MaRDI QIDQ2007577

Peng Hu, Cheng-Ming Huang

Publication date: 22 November 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2018.07.064

zbMATH Keywords

root locus techniqueasymptotic mean square stabilitystochastic delay differential equationsdelay dependent stabilitystochastic split-step \(\theta\) method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (2)

MEAN SQUARE CONVERGENCE AND STABILITY OF BALANCED METHODS FOR STOCHASTIC VARIABLE DELAY DIFFERENTIAL EQUATIONS ⋮ Delay dependent asymptotic mean square stability analysis of the stochastic exponential Euler method

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