Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
8900641 | Applied Mathematics and Computation | 2018 | 12 Pages |
Abstract
In this paper, the delay dependent asymptotic mean square stability of the stochastic split-step θ method for a scalar linear stochastic delay differential equation with real coefficients is studied. The full stability region of this method is given by using root locus technique. The necessary and sufficient condition with respect to the equation coefficients, time stepsize and method parameter θ is derived. It is proved that the stochastic split-step backward Euler can preserve the asymptotic mean square stability of the underlying system completely. In addition, the numerical stability regions of the stochastic split-step θ method and the stochastic θ method are compared with each other. At last, we validate our conclusions by numerical experiments.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Peng Hu, Chengming Huang,