Split-step theta method for stochastic delay integro-differential equations with mean square exponential stability

Linna Liu, Haoyi Mo and Feiqi Deng

Applied Mathematics and Computation, 2019, vol. 353, issue C, 320-328

Abstract: In this paper, we propose the split-step theta method for stochastic delay integro-differential equations by the Lagrange interpolation technique and investigate the mean square exponential stability of the proposed scheme. It is shown that the split-step theta method can inherit the mean square exponential stability of the continuous model under the linear growth condition and the proposed stability condition by the delayed differential and difference inequalities established in the paper. A numerical example is given at the end of the paper to illustrate the method and conclusion of the paper. In addition, the convergence of the split-step theta method is proved in the Appendix.

Keywords: Stochastic differential equations; Delay; Integro-differential equations; Split-step theta method; Mean square exponential stability; Convergence (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:353:y:2019:i:c:p:320-328

DOI: 10.1016/j.amc.2019.01.073

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