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...
| Main Authors: | , , , |
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| Format: | Conference or Workshop Item |
| Language: | English English |
| Published: |
2017
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| Subjects: | |
| 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 |