The split-step backward Euler method for linear stochastic delay differential 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: Journal of Computational and Applied Mathematics
سال: 2009
ISSN: 0377-0427
DOI: 10.1016/j.cam.2008.08.032