The improved split-step backward Euler method for stochastic differential delay equations

DOI10.1080/00207160.2010.538388zbMath1235.65010arXiv1107.0571OpenAlexW1993539434MaRDI QIDQ3101629

Xiao-Jie Wang, Si-qing Gan

Publication date: 29 November 2011

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1107.0571

zbMATH Keywords

strong convergencemean-square stabilitysplit-step backward Euler methodone-sided Lipschitz conditionstochastic differential delay equations

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) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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