The semimartingale approach to almost sure stability analysis of a two-stage numerical method for stochastic delay differential equation
type: Item
instance of: scholarly article
title: The semimartingale approach to almost sure stability analysis of a two-stage numerical method for stochastic delay differential equation
zbMATH Open document ID: 1474.65012
DOI: 10.1155/2014/621359
author: Qian Guo
author: Xueyin Tao
published in: Abstract and Applied Analysis
publication date: 2019-02-14T00:00:00Z
review text: Summary: Almost sure exponential stability of the split-step backward Euler (SSBE) method applied to an Itô-type stochastic differential equation with time-varying delay is discussed by the techniques based on Doob-Mayer decomposition and semimartingale convergence theorem. Numerical experiments confirm the theoretical analysis.
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 34K50
Mathematics Subject Classification ID: 60H10
zbMATH DE Number: 7022743
Wikidata QID: Q59040049
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2014/621359
OpenAlex ID: W1987540658
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description: scientific article; zbMATH DE number 7022743