Stability of the Stochastic θ-Method for Super-Linear Stochastic Differential Equations with Unbounded Delay

Authors

  • Lin Chen School of Statistics, Jiangxi University of Finance and Economics Jiangxi 330013, China

DOI:

https://doi.org/10.4208/jcm.1808-m2018-0005

Keywords:

Unbounded delay, Monotone condition, Polynomial condition, Stochastic θ-method, Decay stability.

Abstract

This paper deals with numerical stability properties of super-linear stochastic differential equations with unbounded delay. Sufficient conditions for mean square and almost sure decay stability of the above system and its stochastic θ-method approximation are investigated in this paper. The author establishes numerical stability under a monotone-type condition in unbounded delay setting. An example is presented to illustrate the result.

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Published

2019-04-29

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Issue

Vol. 37 No. 5 (2019)

Section

Articles

How to Cite

Stability of the Stochastic θ-Method for Super-Linear Stochastic Differential Equations with Unbounded Delay. (2019). Journal of Computational Mathematics, 37(5), 704-720. https://doi.org/10.4208/jcm.1808-m2018-0005