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, issue 1

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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https://doi.org/10.1155/2014/621359

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnlaaa:v:2014:y:2014:i:1:n:621359

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