| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 471644 | Computers & Mathematics with Applications | 2006 | 8 Pages |
Abstract
This paper deals with the adapted Milstein method for solving linear stochastic delay differential equations. It is proved that the numerical method is mean-square (MS) stable under suitable conditions. The obtained result shows that the method preserves the stability property of a class of linear constant-coefficient problems. This is also verified by several numerical examples.
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Physical Sciences and Engineering
Computer Science
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