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

• 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/20484/1/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; http://umpir.ump.edu.my/id/eprint/20484/; http://www.icmskdh.net/
• Institution: Universiti Malaysia Pahang

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...