T-stability of the semi-implicit Euler method for delay differential equations with multiplicative noise

被引：11
|
作者：
Cao, Wanrong [1 ,2 ]
机构：
[1] Southeast Univ, Dept Math, Nanjing 210096, Peoples R China
[2] Southeast Univ, Sch Automat, Nanjing 210096, Peoples R China
来源：
APPLIED MATHEMATICS AND COMPUTATION | 2010年 / 216卷 / 03期
基金：
中国博士后科学基金;
关键词：
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.
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页码：999 / 1006
页数：8
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