Delay differential equations;
Multiplicative noise;
T-stability;
The semi-implicit Euler method;
Two-point random variable;
D O I:
10.1016/j.amc.2010.01.118
中图分类号:
O29 [应用数学];
学科分类号:
070104 ;
摘要:
The paper deals with the T-stability of the semi-implicit Euler method for delay differential equations with multiplicative noise. A difference equation is obtained by applying the numerical method to a linear test equation, in which the Wiener increment is approximated by a discrete random variable with two-point distribution. The conditions under which the method is T-stable are considered and the numerical experiments are given. (C) 2010 Elsevier Inc. All rights reserved.
机构:
Xi An Jiao Tong Univ, Fac Sci, Xian 710049, Peoples R China
Xian Polytech Univ, Sch Sci, Xian 710048, Peoples R ChinaXi An Jiao Tong Univ, Fac Sci, Xian 710049, Peoples R China
Wang, La-sheng
Mei, Changlin
论文数: 0引用数: 0
h-index: 0
机构:
Xi An Jiao Tong Univ, Fac Sci, Xian 710049, Peoples R ChinaXi An Jiao Tong Univ, Fac Sci, Xian 710049, Peoples R China
Mei, Changlin
Xue, Hong
论文数: 0引用数: 0
h-index: 0
机构:
Xian Polytech Univ, Sch Sci, Xian 710048, Peoples R ChinaXi An Jiao Tong Univ, Fac Sci, Xian 710049, Peoples R China