Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4641526 | Journal of Computational and Applied Mathematics | 2009 | 11 Pages |
Abstract
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Haomin Zhang, Siqing Gan, Lin Hu,