Convergence and stability of numerical solutions to a class of index 1 stochastic differential algebraic equations with time delay
DOI10.1016/j.amc.2009.12.007zbMath1184.65015OpenAlexW2078843531MaRDI QIDQ2266981
Xiaomei Qu, Chao Liu, Cheng-Ming Huang
Publication date: 26 February 2010
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2009.12.007
stabilityconvergencenumerical experimentsindex 1stochastic theta methodmean-squarestochastic delay differential algebraic equation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for differential-algebraic equations (65L80)
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