线性随机微分延迟方程复合Euler方法的均方稳定性(英文)

GMS-stability of the composite Euler method for a linear stochastic differential delay equation

研究了复合Euler方法对线性随机微分延迟方程的全局均方稳定性,给出复合Euler方法全局稳定性的条件并证明在这些条件下复合Euler方法是GMS-稳定的,给出数值算例支持理论分析.

The general mean square （GMS） stability of the composite Euler method for a linear stochastic differential delay equation is investigated, Conditions of the general mean square stability of the composite Euler method for a linear stochastic differential delay equation is given, It is shown that the composite Euler method is GMS - stable under these conditions, The numerical examples are presented to support the theoretical analysis.