کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1713900 | 1013256 | 2008 | 8 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Mean-square stability of Milstein method for linear hybrid stochastic delay integro-differential equations Mean-square stability of Milstein method for linear hybrid stochastic delay integro-differential equations](/preview/png/1713900.png)
In this paper we study the mean-square (MS) stability of the Milstein method for linear stochastic delay integro-differential equations (SDIDE) with Markovian switching by extending the techniques of [Z. Wang, C. Zhang, An analysis of stability of Milstein method for stochastic differential equations with delay, Computers and Mathematics with Applications 51 (2006) 1445–1452; L. Ronghua, H. Yingmin, Convergence and stability of numerical solutions to SDDEs with Markovian switching, Applied Mathematics and Computation 175 (2006) 1080–1091]. It is established that the Milstein method is MS-stable for linear stochastic delay differential equations (Wang and Zhang (2006); in the above reference). Here we prove that it is MS-stable for linear SDIDE with Markovian switching also under suitable conditions on the integral term. A numerical example is provided to illustrate the theoretical results.
Journal: Nonlinear Analysis: Hybrid Systems - Volume 2, Issue 4, November 2008, Pages 1256–1263