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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| Format: | Conference or Workshop Item |
| Language: | English English |
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2017
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| Online Access: | 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 |
| _version_ | 1848821114409582592 |
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| 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 |
| building | UMP Institutional Repository |
| collection | Online Access |
| 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. |
| first_indexed | 2025-11-15T02:20:12Z |
| format | Conference or Workshop Item |
| id | ump-20484 |
| institution | Universiti Malaysia Pahang |
| institution_category | Local University |
| language | English English |
| last_indexed | 2025-11-15T02:20:12Z |
| publishDate | 2017 |
| recordtype | eprints |
| repository_type | Digital Repository |
| 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) (Unpublished) http://www.icmskdh.net/ |
| 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 |
| title | 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_short | 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 |
| topic | Q Science (General) |
| 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 |