The Semimartingale Approach to Almost Sure Stability Analysis of a Two-Stage Numerical Method for Stochastic Delay Differential Equation
Joint Authors
Source
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-10-22
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract EN
Almost sure exponential stability of the split-step backward Euler (SSBE) method applied to an Itô-type stochastic differential equation with time-varying delay is discussed by the techniques based on Doob-Mayer decomposition and semimartingale convergence theorem.
Numerical experiments confirm the theoretical analysis.
American Psychological Association (APA)
Guo, Qian& Tao, Xueyin. 2014. The Semimartingale Approach to Almost Sure Stability Analysis of a Two-Stage Numerical Method for Stochastic Delay Differential Equation. Abstract and Applied Analysis،Vol. 2014, no. 2014, pp.1-7.
https://search.emarefa.net/detail/BIM-1033876
Modern Language Association (MLA)
Guo, Qian& Tao, Xueyin. The Semimartingale Approach to Almost Sure Stability Analysis of a Two-Stage Numerical Method for Stochastic Delay Differential Equation. Abstract and Applied Analysis No. 2014 (2014), pp.1-7.
https://search.emarefa.net/detail/BIM-1033876
American Medical Association (AMA)
Guo, Qian& Tao, Xueyin. The Semimartingale Approach to Almost Sure Stability Analysis of a Two-Stage Numerical Method for Stochastic Delay Differential Equation. Abstract and Applied Analysis. 2014. Vol. 2014, no. 2014, pp.1-7.
https://search.emarefa.net/detail/BIM-1033876
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1033876
