Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation

Journal of Computational and Applied Mathematics

Volumn 171, Issue 1-2, 2004, Pages 255-268

  Liu, Mingzhu ^a   Cao, Wanrong ^a   Fan, Zhencheng ^a  

^a HARBIN INSTITUTE OF TECHNOLOGY   (China)

Author keywords

GMS stability; MS stability; Numerical solution; Semi implicit Euler method; Stochastic differential delay equations

Indexed keywords

COMPUTATIONAL METHODS; CONVERGENCE OF NUMERICAL METHODS; NUMERICAL METHODS; STOCHASTIC PROGRAMMING;

DELAY EQUATIONS; SEMI-IMPLICIT EULER METHOD;

DIFFERENTIAL EQUATIONS;

MATHEMATICAL ANALYSIS;

EID: 3042628715     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cam.2004.01.040     Document Type: Article

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