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
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: The split-step backward Euler method for linear stochastic delay differential equations The split-step backward Euler method for linear stochastic delay differential equations](/preview/png/4641526.png)
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,