Mean square stability analysis of semi-implicit milstein scheme for linear stochastic delay differential equations

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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Bibliographic Details
Main Authors: Norhayati, Rosli, Amalina Nisa, Ariffin, Yeak, Su Hoe, Arifah, Bahar
Format: Conference or Workshop Item
Language:English
English
Published: 2017
Subjects:
Q Science (General)
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

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