Delay-dependent stability analysis of numerical methods for stochastic delay differential equations

• Main Authors: Huang, Chengming, Gan, Siqing, Wang, Desheng
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2013
• Subjects: DRNTU::Science::Mathematics::Applied mathematics
• Online Access: https://hdl.handle.net/10356/107149; http://hdl.handle.net/10220/17698; http://dx.doi.org/10.1016/j.cam.2012.03.003
• Institution: Nanyang Technological University

This paper is concerned with the numerical solution of stochastic delay differential equations. The focus is on the delay-dependent stability of numerical methods for a linear scalar test equation with real coefficients. By using the so-called root locus technique, the full asymptotic stability regi...