T-stability of numerical solutions for linear stochastic differential equations with delay

DOI10.1007/s11859-011-0750-yzbMath1249.65009OpenAlexW2154154796MaRDI QIDQ2887504

Qi Wang

Publication date: 1 June 2012

Published in: Wuhan University Journal of Natural Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11859-011-0750-y

zbMATH Keywords

numerical examplesstochastic delay differential equationsEuler-Maruyama methodT-stability

Mathematics Subject Classification ID

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) Finite difference and finite volume methods for ordinary differential equations (65L12)

Cites Work

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• Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation
• Stability of stochastic systems with uncertain time delays
• MS-stability of the Euler--Maruyama method for stochastic differential delay equations
• Exponential stability of Euler-Maruyama solutions for impulsive stochastic differential equations with delay
• T-stability of the semi-implicit Euler method for delay differential equations with multiplicative noise
• Numerical solutions of stochastic differential equations -- implementation and stability issues

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