The improved split-step backward Euler method for stochastic differential delay equations
نویسندگان
چکیده
منابع مشابه
Stability of two classes of improved backward Euler methods for stochastic delay differential equations of neutral type
This paper examines stability analysis of two classes of improved backward Euler methods, namely split-step $(theta, lambda)$-backward Euler (SSBE) and semi-implicit $(theta,lambda)$-Euler (SIE) methods, for nonlinear neutral stochastic delay differential equations (NSDDEs). It is proved that the SSBE method with $theta, lambdain(0,1]$ can recover the exponential mean-square stability with some...
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ژورنال
عنوان ژورنال: International Journal of Computer Mathematics
سال: 2011
ISSN: 0020-7160,1029-0265
DOI: 10.1080/00207160.2010.538388