Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation
Authors:
- 1 September 2004
- journal article
- Published by Elsevier in Journal of Computational and Applied Mathematics
- Vol. 170 (2) , 255-268
Abstract
No abstract availableKeywords
This publication has 9 references indexed in Scilit:
- Discrete-time approximations of stochastic delay equations: The Milstein schemeThe Annals of Probability, 2004
- Two-Stage Stochastic Runge-Kutta Methods for Stochastic Differential EquationsBIT Numerical Mathematics, 2002
- Weak discrete time approximation of stochastic differential equations with time delayMathematics and Computers in Simulation, 2002
- Strong discrete time approximation of stochastic differential equations with time delayMathematics and Computers in Simulation, 2000
- Numerical Analysis of Explicit One-Step Methods for Stochastic Delay Differential EquationsLMS Journal of Computation and Mathematics, 2000
- Mean-Square and Asymptotic Stability of the Stochastic Theta MethodSIAM Journal on Numerical Analysis, 2000
- Stability Analysis of Numerical Schemes for Stochastic Differential EquationsSIAM Journal on Numerical Analysis, 1996
- Razumikhin-type theorems on exponential stability of stochastic functional differential equationsStochastic Processes and their Applications, 1996
- High strong order explicit Runge-Kutta methods for stochastic ordinary differential equationsApplied Numerical Mathematics, 1996