On mean-square stability of two-step Maruyama methods for nonlinear neutral stochastic delay differential equations

Xiuping Li and Wanrong Cao

Applied Mathematics and Computation, 2015, vol. 261, issue C, 373-381

Abstract: The asymptotic mean-square stability of two-step Maruyama methods is considered for nonlinear neutral stochastic differential equations with constant time delay (NSDDEs). Under the one-sided Lipschitz condition and the linear growth condition, it is proved that a family of implicit two-step Maruyama methods can preserve the stability of the analytic solution in mean-square sense. Numerical results for both a nonlinear NSDDE and a system show that the family of two-step Maruyama methods have better stability than previous two-step Maruyama methods.

Keywords: Stochastic multi-step methods; Asymptotic stability; The one-sided Lipschitz condition; Multiplicative white noises; Nonlinear simulation (search for similar items in EconPapers)
Date: 2015
References: View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0096300315004294
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:261:y:2015:i:c:p:373-381

DOI: 10.1016/j.amc.2015.04.003

Access Statistics for this article

Applied Mathematics and Computation is currently edited by Theodore Simos

More articles in Applied Mathematics and Computation from Elsevier
Bibliographic data for series maintained by Catherine Liu ().