MS-stability of the Euler--Maruyama method for stochastic differential delay equations

DOI10.1016/j.amc.2003.10.015zbMath1074.65007OpenAlexW1970756169MaRDI QIDQ702586

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

Publication date: 17 January 2005

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

Full work available at URL: https://doi.org/10.1016/j.amc.2003.10.015

zbMATH Keywords

mean square stabilityEuler-Maruyama methodstochastic differential delay equations

Mathematics Subject Classification ID

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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