Convergence and stability of the semi-implicit Euler method for linear stochastic delay integro-differential equations

被引：29

作者：

Ding, Xiaohua ^{[1
]}

Wu, Kaining ^{[1
]}

Liu, Mingzhu ^{[1
]}

机构：

[1] Harbin Inst Technol, Dept Math, Weihai 264209, Peoples R China

来源：

INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS | 2006年 / 83卷 / 10期

关键词：

stochastic delay integro-differential equations; mean square stability; semi-implicit Euler method; numerical solution;

D O I：

10.1080/00207160601073680

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper deals with the convergence and stability of the semi-implicit Euler method for linear stochastic delay integro-differential equations. It is proved that the semi-implicit Euler method is convergent with strong order p = 0.5. The condition under which the method is asymptotic mean square stable is determined and numerical experiments are presented.

引用

下载

页码：753 / 763

页数：11

共 50 条

[1] Strong Convergence of the Semi-Implicit Euler Method for a Kind of Stochastic Volterra Integro-Differential Equations
Gao, Jianfang
Ma, Shufang
Liang, Hui
NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS, 2019, 12 (02): : 547 - 565
[2] Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation
Liu, MZ
Cao, WR
Fan, ZC
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2004, 170 (02) : 255 - 268
[3] CONVERGENCE AND MEAN-SQUARE STABILITY OF EXPONENTIAL EULER METHOD FOR SEMI-LINEAR STOCHASTIC DELAY INTEGRO-DIFFERENTIAL EQUATIONS*
Yuan, Haiyan
JOURNAL OF COMPUTATIONAL MATHEMATICS, 2022, 40 (02): : 177 - 205
[4] Convergence and stability of the split-step backward Euler method for linear stochastic delay integro-differential equations
Tan, Jianguo
Wang, Hongli
MATHEMATICAL AND COMPUTER MODELLING, 2010, 51 (5-6) : 504 - 515
[5] Convergence and stability of exponential integrators for semi-linear stochastic variable delay integro-differential equations
Yuan, Haiyan
INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS, 2021, 98 (05) : 903 - 932
[6] Convergence and Stability of Exponential Integrators for Semi-Linear Stochastic Variable Delay Integro-Differential Equations
Yuan, Haiyan
International Journal of Computer Mathematics, 2020, : 1 - 32
[7] CONVERGENCE AND STABILITY OF THE SEMI-IMPLICIT EULER METHOD WITH VARIABLE STEPSIZE FOR A LINEAR STOCHASTIC PANTOGRAPH DIFFERENTIAL EQUATION
Xiao, Yu
Song, Minghui
Liu, Mingzhu
INTERNATIONAL JOURNAL OF NUMERICAL ANALYSIS AND MODELING, 2011, 8 (02) : 214 - 225
[8] Convergence of the semi-implicit Euler method for neutral stochastic delay differential equations with phase semi-Markovian switching
Yin, Baojian
Ma, Zhonghua
APPLIED MATHEMATICAL MODELLING, 2011, 35 (05) : 2094 - 2109
[9] Convergence and stability of the exponential Euler method for semi-linear stochastic delay differential equations
Ling Zhang
Journal of Inequalities and Applications, 2017
[10] Convergence and stability of the exponential Euler method for semi-linear stochastic delay differential equations
Zhang, Ling
JOURNAL OF INEQUALITIES AND APPLICATIONS, 2017,

← 1 2 3 4 5 →