Stability of the Stochastic θ-Method for Super-Linear Stochastic Differential Equations with Unbounded Delay
Year: 2019
Author: Lin Chen
Journal of Computational Mathematics, Vol. 37 (2019), Iss. 5 : pp. 704–720
Abstract
This paper deals with numerical stability properties of super-linear stochastic differential equations with unbounded delay. Sufficient conditions for mean square and almost sure decay stability of the above system and its stochastic θ-method approximation are investigated in this paper. The author establishes numerical stability under a monotone-type condition in unbounded delay setting. An example is presented to illustrate the result.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/jcm.1808-m2018-0005
Journal of Computational Mathematics, Vol. 37 (2019), Iss. 5 : pp. 704–720
Published online: 2019-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 17
Keywords: Unbounded delay Monotone condition Polynomial condition Stochastic θ-method Decay stability.