Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation

DOI10.1016/j.cam.2004.01.040zbMath1059.65006OpenAlexW2033096483WikidataQ115359895 ScholiaQ115359895MaRDI QIDQ596201

Zhencheng Fan, Ming-Zhu Liu, Wan-Rong Cao

Publication date: 10 August 2004

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

Full work available at URL: https://doi.org/10.1016/j.cam.2004.01.040

zbMATH Keywords

numerical resultsmean square stabilitystochastic differential delay equationssemi-implicit Euler method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) 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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