Mean-square exponential stability of stochastic theta methods for nonlinear stochastic delay integro-differential equations

被引：18
|
作者：
Li Q. [1 ,2 ]
Gan S. [1 ]
机构：
[1] School of Mathematical Sciences and Computing Technology, Central South University, Changsha
[2] Department of Mathematics, Huaihua University, Huaihua
来源：
Journal of Applied Mathematics and Computing | 2012年 / 39卷 / 1-2期
基金：
中国国家自然科学基金;
关键词：
Backward Euler method; Mean-square exponential stability; Nonlinear stochastic delay integro-differential equation; Stochastic theta method; Trapezoidal rule;
D O I：
10.1007/s12190-011-0510-3
中图分类号：
学科分类号：
摘要：
This paper deals with the mean-square exponential stability of stochastic theta methods for nonlinear stochastic delay integro-differential equations. It is shown that the stochastic theta methods inherit the mean-square exponential stability property of the underlying system. Moreover, the backward Euler method is mean-square exponentially stable with less restrictions on the step size. In addition, numerical experiments are presented to confirm the theoretical results. © 2011 Korean Society for Computational and Applied Mathematics.
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页码：69 / 87
页数：18
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