T-stability of the semi-implicit Euler method for delay differential equations with multiplicative noise

DOI10.1016/J.AMC.2010.01.118zbMath1195.65007OpenAlexW1973659587MaRDI QIDQ969172

Wan-Rong Cao

Publication date: 11 May 2010

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

Full work available at URL: https://doi.org/10.1016/j.amc.2010.01.118

zbMATH Keywords

Wiener processnumerical examplesdelay differential equationsmultiplicative noisesemi-implicit Euler methodstochastic ordinary differential equationsT-convergenceT-stabilitytwo-point random variable

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) Numerical methods for functional-differential equations (65L03)

Related Items (5)

T-stability of numerical solutions for linear stochastic differential equations with delay ⋮ T-stability of the Euler method for impulsive stochastic differential equations driven by fractional Brownian motion ⋮ \(T\)-stability of the split-step \(\theta\)-methods for linear stochastic delay integro-differential equations ⋮ High-order stochastic symplectic partitioned Runge-Kutta methods for stochastic Hamiltonian systems with additive noise ⋮ T-stability of the Heun method and balanced method for solving stochastic differential delay equations

Cites Work

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• Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation
• Almost sure exponential stability of neutral stochastic differential difference equations
• Razumikhin-type theorems on exponential stability of stochastic functional differential equations
• Numerical solutions of stochastic differential equations -- implementation and stability issues
• Stochastically stable one-step approximations of solutions of stochastic ordinary differential equations
• Approximation of Upper Lyapunov Exponents of Bilinear Stochastic Differential Systems
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• The composite Euler method for stiff stochastic differential equations

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