-stability of the split-step -methods for linear stochastic delay integro-differential equations
β Scribed by A. Rathinasamy; K. Balachandran
- Book ID
- 119331006
- Publisher
- Elsevier
- Year
- 2011
- Tongue
- English
- Weight
- 283 KB
- Volume
- 5
- Category
- Article
- ISSN
- 1751-570X
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This paper is concerned with the numerical solution of delay integro-differential equations. The adaptation of linear multistep methods is considered. The emphasis is on the linear stability of numerical methods. It is shown that every A-stable, strongly 0-stable linear multistep method of Pouzet ty
In this paper we discuss split-step forward methods for solving ItΓ΄ stochastic differential equations (SDEs). Eight fully explicit methods, the drifting split-step Euler (DRSSE) method, the diffused split-step Euler (DISSE) method and the three-stage Milstein (TSM 1a -TSM 1f) methods, are constructe