Delay dependent stability of stochastic split-step θ methods for stochastic delay differential equations

被引：4

作者：

Hu, Peng ^{[1
]}

Huang, Chengming ^{[2
,3
]}

机构：

[1] China Univ Geosci, Sch Math & Phys, Wuhan 430074, Hubei, Peoples R China

[2] Huazhong Univ Sci & Technol, Sch Math & Stat, Wuhan 430074, Hubei, Peoples R China

[3] Huazhong Univ Sci & Technol, Hubei Key Lab Engn Modeling & Sci Comp, Wuhan 430074, Hubei, Peoples R China

来源：

APPLIED MATHEMATICS AND COMPUTATION | 2018年 / 339卷

关键词：

Stochastic delay differential equations; asymptotic mean square stability; stochastic split-step theta method; delay dependent stability; root locus technique; MEAN-SQUARE STABILITY; BACKWARD EULER METHOD; MARUYAMA METHODS; MILSTEIN SCHEME;

D O I：

10.1016/j.amc.2018.07.064

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, the delay dependent asymptotic mean square stability of the stochastic split-step theta method for a scalar linear stochastic delay differential equation with real coefficients is studied. The full stability region of this method is given by using root locus technique. The necessary and sufficient condition with respect to the equation coefficients, time stepsize and method parameter theta is derived. It is proved that the stochastic split-step backward Euler can preserve the asymptotic mean square stability of the underlying system completely. In addition, the numerical stability regions of the stochastic split-step theta method and the stochastic theta method are compared with each other. At last, we validate our conclusions by numerical experiments. (C) 2018 Elsevier Inc. All rights reserved.

引用

页码：663 / 674

页数：12

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