The Semimartingale Approach to Almost Sure Stability Analysis of a Two-Stage Numerical Method for Stochastic Delay Differential Equation

Qian Guo and Xueyin Tao

Abstract and Applied Analysis, 2014, vol. 2014, 1-7

Abstract:

Almost sure exponential stability of the split-step backward Euler (SSBE) method applied to an Itô-type stochastic differential equation with time-varying delay is discussed by the techniques based on Doob-Mayer decomposition and semimartingale convergence theorem. Numerical experiments confirm the theoretical analysis.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlaaa:621359

DOI: 10.1155/2014/621359

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