Mean-square stability of semi-implicit Euler method for nonlinear neutral stochastic delay differential equations
Mean-square stability of semi-implicit Euler method for nonlinear neutral stochastic delay differential equations
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DOI：
10.1016/j.apnum.2011.01.003
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发表时间：
2011-05
影响因子：
2.8
通讯作者：
Wenqiang Wang;Yanping Chen
中科院分区：
文献类型：
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作者：
Wenqiang Wang;Yanping Chen
关于非线性中立型随机时滞微分方程的数值稳定性问题，目前还没有什么结果。本文的目的是建立一些新的结果的数值稳定性的非线性NSDDE。在适当的条件下，证明了半隐式Euler方法是均方稳定的。数值实验也证实了理论结果。
There are few results on the numerical stability of nonlinear neutral stochastic delay differential equations (NSDDEs). The aim of this paper is to establish some new results on the numerical stability for nonlinear NSDDEs. It is proved that the semi-implicit Euler method is mean-square stable under suitable condition. The theoretical result is also confirmed by a numerical experiment.