Year: 2012
Author: Wanrong Cao, Zhongqiang Zhang
Advances in Applied Mathematics and Mechanics, Vol. 4 (2012), Iss. 6 : pp. 821–832
Abstract
In this paper, we investigate the numerical performance of a family of P-stable two-step Maruyama schemes in mean-square sense for stochastic differential equations with time delay proposed in [8, 10] for a certain class of nonlinear stochastic delay differential equations with multiplicative white noises. We also test the convergence of one of the schemes for a time-delayed Burgers' equation with an additive white noise. Numerical results show that this family of two-step Maruyama methods exhibit similar stability for nonlinear equations as that for linear equations.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/aamm.12-12S11
Advances in Applied Mathematics and Mechanics, Vol. 4 (2012), Iss. 6 : pp. 821–832
Published online: 2012-01
AMS Subject Headings: Global Science Press
Copyright: COPYRIGHT: © Global Science Press
Pages: 12
Keywords: P-stability in mean-square sense two-step Maruyama methods nonlinear stochastic delay differential system Burgers' equation.