T‐Stability of the Heun Method and Balanced Method for Solving Stochastic Differential Delay Equations

Xiaolin Zhu and Hu Peng

Journal of Applied Mathematics, 2014, vol. 2014, issue 1

Abstract: This paper studies the T‐stability of the Heun method and balanced method for solving stochastic differential delay equations (SDDEs). Two T‐stable conditions of the Heun method are obtained for two kinds of linear SDDEs. Moreover, two conditions under which the balanced method is T‐stable are obtained for two kinds of linear SDDEs. Some numerical examples verify the theoretical results proposed.

Date: 2014
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https://doi.org/10.1155/2014/545830

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnljam:v:2014:y:2014:i:1:n:545830

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