Title of article
An analysis of stability of milstein method for stochastic differential equations with delay
Author/Authors
Zhiyong Wang، نويسنده , , Chengjian Zhang and Hongbing Yu، نويسنده ,
Issue Information
دوهفته نامه با شماره پیاپی سال 2006
Pages
8
From page
1445
To page
1452
Abstract
This paper deals with the adapted Milstein method for solving linear stochastic delay differential equations. It is proved that the numerical method is mean-square (MS) stable under suitable conditions. The obtained result shows that the method preserves the stability property of a class of linear constant-coefficient problems. This is also verified by several numerical examples
Keywords
Numerical simulation , MS-stability , Itô stochastic integral , Milstein method , Stochastic delay differential equations
Journal title
Computers and Mathematics with Applications
Serial Year
2006
Journal title
Computers and Mathematics with Applications
Record number
920452
Link To Document