Mean square stability analysis of semi-implicit milstein scheme for linear stochastic delay differential equations

Mean square stability analysis of semi-implicit milstein scheme for linear stochastic delay differential equations

This paper is devoted to investigate the mean square stability of semiimplicit Milstein scheme in approximating the solution of linear stochastic delay differential equations (SDDEs). Semi-implicit Milstein scheme is proposed by extending an explicit Milstein to its semi-implicit counterparts. A met...

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Main Authors: Norhayati, Rosli, Amalina Nisa, Ariffin, Yeak, Su Hoe, Arifah, Bahar
Format: Conference or Workshop Item
Language:English
English
Published: 2017
Subjects:
Q Science (General)
Online Access:http://umpir.ump.edu.my/id/eprint/20484/
http://umpir.ump.edu.my/id/eprint/20484/
http://umpir.ump.edu.my/id/eprint/20484/1/Mean%20Square%20Stability%20Analysis%20of%20Semi-Implicit%20Milstein%20Scheme%20for%20Linear%20Stochastic%20Delay%20Differential%20Equations.pdf
http://umpir.ump.edu.my/id/eprint/20484/7/Mean%20Square%20Stability%20Analysis%20of%20Semi-Implicit%20Milstein%20Scheme%20for%20Linear%20Stochastic%20Delay%20Differential%20Equations%201.pdf
id ump-20484
recordtype eprints
spelling ump-204842018-07-24T07:10:54Z http://umpir.ump.edu.my/id/eprint/20484/ Mean square stability analysis of semi-implicit milstein scheme for linear stochastic delay differential equations Norhayati, Rosli Amalina Nisa, Ariffin Yeak, Su Hoe Arifah, Bahar Q Science (General) This paper is devoted to investigate the mean square stability of semiimplicit Milstein scheme in approximating the solution of linear stochastic delay differential equations (SDDEs). Semi-implicit Milstein scheme is proposed by extending an explicit Milstein to its semi-implicit counterparts. A method is said to be semi-implicit if it is implicit in drift term and explicit in diffusion term. The condition under which the method is mean square stable is determined. The results show that the semi-implicit Milstein scheme preserves the stability property for linear SDDEs under certain conditions of constant coefficients. Numerical experiments are conducted to verify the results. 2017 Conference or Workshop Item PeerReviewed pdf en http://umpir.ump.edu.my/id/eprint/20484/1/Mean%20Square%20Stability%20Analysis%20of%20Semi-Implicit%20Milstein%20Scheme%20for%20Linear%20Stochastic%20Delay%20Differential%20Equations.pdf pdf en http://umpir.ump.edu.my/id/eprint/20484/7/Mean%20Square%20Stability%20Analysis%20of%20Semi-Implicit%20Milstein%20Scheme%20for%20Linear%20Stochastic%20Delay%20Differential%20Equations%201.pdf Norhayati, Rosli and Amalina Nisa, Ariffin and Yeak, Su Hoe and Arifah, Bahar (2017) Mean square stability analysis of semi-implicit milstein scheme for linear stochastic delay differential equations. In: 3rd INTERNATIONAL CONFERENCE ON COMPUTING, MATHEMATICS AND STATISTICS 2017 (iCMS2017), 7-8 November 2017 , Langkawi, Malaysia. pp. 1-7.. (Unpublished) http://www.icmskdh.net/
repository_type Digital Repository
institution_category Local University
institution Universiti Malaysia Pahang
building UMP Institutional Repository
collection Online Access
language English
English
topic Q Science (General)
spellingShingle Q Science (General)
Norhayati, Rosli
Amalina Nisa, Ariffin
Yeak, Su Hoe
Arifah, Bahar
Mean square stability analysis of semi-implicit milstein scheme for linear stochastic delay differential equations
description This paper is devoted to investigate the mean square stability of semiimplicit Milstein scheme in approximating the solution of linear stochastic delay differential equations (SDDEs). Semi-implicit Milstein scheme is proposed by extending an explicit Milstein to its semi-implicit counterparts. A method is said to be semi-implicit if it is implicit in drift term and explicit in diffusion term. The condition under which the method is mean square stable is determined. The results show that the semi-implicit Milstein scheme preserves the stability property for linear SDDEs under certain conditions of constant coefficients. Numerical experiments are conducted to verify the results.
format Conference or Workshop Item
author Norhayati, Rosli
Amalina Nisa, Ariffin
Yeak, Su Hoe
Arifah, Bahar
author_facet Norhayati, Rosli
Amalina Nisa, Ariffin
Yeak, Su Hoe
Arifah, Bahar
author_sort Norhayati, Rosli
title Mean square stability analysis of semi-implicit milstein scheme for linear stochastic delay differential equations
title_short Mean square stability analysis of semi-implicit milstein scheme for linear stochastic delay differential equations
title_full Mean square stability analysis of semi-implicit milstein scheme for linear stochastic delay differential equations
title_fullStr Mean square stability analysis of semi-implicit milstein scheme for linear stochastic delay differential equations
title_full_unstemmed Mean square stability analysis of semi-implicit milstein scheme for linear stochastic delay differential equations
title_sort mean square stability analysis of semi-implicit milstein scheme for linear stochastic delay differential equations
publishDate 2017
url http://umpir.ump.edu.my/id/eprint/20484/
http://umpir.ump.edu.my/id/eprint/20484/
http://umpir.ump.edu.my/id/eprint/20484/1/Mean%20Square%20Stability%20Analysis%20of%20Semi-Implicit%20Milstein%20Scheme%20for%20Linear%20Stochastic%20Delay%20Differential%20Equations.pdf
http://umpir.ump.edu.my/id/eprint/20484/7/Mean%20Square%20Stability%20Analysis%20of%20Semi-Implicit%20Milstein%20Scheme%20for%20Linear%20Stochastic%20Delay%20Differential%20Equations%201.pdf
first_indexed 2023-09-18T22:29:33Z
last_indexed 2023-09-18T22:29:33Z
_version_ 1777416194168455168

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