An analysis of stability of Milstein method for stochastic differential equations with delay
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Publication:2475914
DOI10.1016/j.camwa.2006.01.004zbMath1136.65009OpenAlexW2056514118MaRDI QIDQ2475914
Publication date: 11 March 2008
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2006.01.004
numerical examplesmean-square stabilitystochastic delay differential equationsMilstein methodItô stochastic integrallinear constant-coefficient problems
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)
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- Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation
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- Numerical Analysis of Explicit One-Step Methods for Stochastic Delay Differential Equations
- Stability Analysis of Numerical Schemes for Stochastic Differential Equations
- High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
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