An analysis of stability of milstein method for stochastic differential equations with delay
نویسندگان
چکیده
منابع مشابه
An analysis of stability of milstein method for stochastic differential equations with delay
-This paper deals with the adapted Milstein method for solving linear stochastic delay differential equations. It is proved that the numerical method is mean-square (MS) stable under suitable conditions. The obtained result shows that the method preserves the stability property of a class of linear constant-coefficient problems. This is also verified by several numerical examples. (~) 2006 Else...
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در این مقاله یک روش تحلیلی بر پایه‌ی روش تحلیل هموتوپی برای حل معادله دیفرانسیل-تفاضلی اختشاشی منفرد ارائه شده است. معادلات مورد بررسی در این مقاله از نوع تاخیری است که دارای رفتار لایه مرزی نیز هستند. تفاوت روش تحلیل هموتوپی با روشهای تحلیلی دیگر فراهم کردن یک راه ساده برای کنترل ناحیه همگرایی سری جواب بدست آمده معادله با استفاده از پارامتر کمکی تعبیه شده در این روش است. در این مقاله صحت و درس...
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ژورنال
عنوان ژورنال: Computers & Mathematics with Applications
سال: 2006
ISSN: 0898-1221
DOI: 10.1016/j.camwa.2006.01.004