Convergence and Stability of the Semi-Implicit Euler Method with Variable Stepsize for a Linear Stochastic Pantograph Differential Equation
Year: 2011
International Journal of Numerical Analysis and Modeling, Vol. 8 (2011), Iss. 2 : pp. 214–225
Abstract
The paper deals with convergence and stability of the semi-implicit Euler method with variable stepsize for a linear stochastic pantograph differential equation (SPDE). It is proved that the semi-implicit Euler method with variable stepsize is convergent with strong order $p = \frac{1}{2}$. The conditions under which the method is mean square stability are determined and the numerical experiments are given.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/2011-IJNAM-683
International Journal of Numerical Analysis and Modeling, Vol. 8 (2011), Iss. 2 : pp. 214–225
Published online: 2011-01
AMS Subject Headings: Global Science Press
Copyright: COPYRIGHT: © Global Science Press
Pages: 12
Keywords: Stochastic pantograph differential equation mean square stability semi-implicit Euler method with variable stepsize.