کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4641526 | 1341311 | 2009 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The split-step backward Euler method for linear stochastic delay differential equations
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله

چکیده انگلیسی
In this paper, the numerical approximation of solutions of linear stochastic delay differential equations (SDDEs) in the Itô sense is considered. We construct split-step backward Euler (SSBE) method for solving linear SDDEs and develop the fundamental numerical analysis concerning its strong convergence and mean-square stability. It is proved that the SSBE method is convergent with strong order γ=12 in the mean-square sense. The conditions under which the SSBE method is mean-square stable (MS-stable) and general mean-square stable (GMS-stable) are obtained. Some illustrative numerical examples are presented to demonstrate the order of strong convergence and the mean-square stability of the SSBE method.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 225, Issue 2, 15 March 2009, Pages 558–568
Journal: Journal of Computational and Applied Mathematics - Volume 225, Issue 2, 15 March 2009, Pages 558–568
نویسندگان
Haomin Zhang, Siqing Gan, Lin Hu,