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An analysis of stability of milstein method for stochastic differential equations with delay

✍ Scribed by Zhiyong Wang; Chengjian Zhang

Publisher
Elsevier Science
Year
2006
Tongue
English
Weight
359 KB
Volume
51
Category
Article
ISSN
0898-1221

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✦ Synopsis

This paper deals with the adapted Milstein method for solving linear stochastic delay differential equations. It is proved that the numerical method is mean-square (MS) stable under suitable conditions. The obtained result shows that the method preserves the stability property of a class of linear constant-coefficient problems. This is also verified by several numerical examples.

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