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

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页码：753 / 763

页数：11

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