Year: 2016
Author: Feiyan Xiao, Peng Wang
Journal of Computational Mathematics, Vol. 34 (2016), Iss. 1 : pp. 1–11
Abstract
The paper introduces a new class of numerical schemes for the approximate solutions of stochastic pantograph equations. As an effective technique to implement implicit stochastic methods, strong predictor-corrector methods (PCMs) are designed to handle scenario simulation of solutions of stochastic pantograph equations. It is proved that the PCMs are strong convergent with order $\frac{1}{2}$. Linear MS-stability of stochastic pantograph equations and the PCMs are researched in the paper. Sufficient conditions of MS-unstability of stochastic pantograph equations and MS-stability of the PCMs are obtained, respectively. Numerical experiments demonstrate these theoretical results.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/jcm.1506-m2014-0110
Journal of Computational Mathematics, Vol. 34 (2016), Iss. 1 : pp. 1–11
Published online: 2016-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 11
Keywords: Stochastic pantograph equation Predictor-corrector method MS-convergence MS-stability.