The semimartingale approach to almost sure stability analysis of a two-stage numerical method for stochastic delay differential equation
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.
scientific article; zbMATH DE number 7022743
scientific article