On Mean Square Stability and Dissipativity of Split-Step Theta Method for Nonlinear Neutral Stochastic Delay Differential Equations

Haiyan Yuan, Jihong Shen and Cheng Song

Discrete Dynamics in Nature and Society, 2016, vol. 2016, 1-8

Abstract:

A split-step theta (SST) method is introduced and used to solve the nonlinear neutral stochastic delay differential equations (NSDDEs). The mean square asymptotic stability of the split-step theta (SST) method for nonlinear neutral stochastic delay differential equations is studied. It is proved that under the one-sided Lipschitz condition and the linear growth condition, the split-step theta method with is asymptotically mean square stable for all positive step sizes, and the split-step theta method with is asymptotically mean square stable for some step sizes. It is also proved in this paper that the split-step theta (SST) method possesses a bounded absorbing set which is independent of initial data, and the mean square dissipativity of this method is also proved.

Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnddns:7397941

DOI: 10.1155/2016/7397941

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