Exponential mean square stability of numerical methods for systems of stochastic differential equations
نویسندگان
چکیده
منابع مشابه
On exponential mean-square stability of two-step Maruyama methods for stochastic delay differential equations
We are concerned with the exponential mean-square stability of two-step Maruyama methods for stochastic differential equations with time delay. We propose a family of schemes and prove that it can maintain the exponential mean-square stability of the linear stochastic delay differential equation for every step size of integral fraction of the delay in the equation. Numerical results for linear ...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2012
ISSN: 0377-0427
DOI: 10.1016/j.cam.2012.03.005