The Semimartingale Approach to Almost Sure Stability Analysis of a Two-Stage Numerical Method for Stochastic Delay Differential Equation
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...
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| Format: | Article |
| Language: | English |
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Wiley
2014-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2014/621359 |
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| author | Qian Guo Xueyin Tao |
| author_facet | Qian Guo Xueyin Tao |
| author_sort | Qian Guo |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-23e0fbe1ddab44c2ab2c89eca83fa9ba |
| institution | Kabale University |
| issn | 1085-3375 1687-0409 |
| language | English |
| publishDate | 2014-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Abstract and Applied Analysis |
| spelling | doaj-art-23e0fbe1ddab44c2ab2c89eca83fa9ba2025-02-03T01:20:33ZengWileyAbstract and Applied Analysis1085-33751687-04092014-01-01201410.1155/2014/621359621359The Semimartingale Approach to Almost Sure Stability Analysis of a Two-Stage Numerical Method for Stochastic Delay Differential EquationQian Guo0Xueyin Tao1Department of Mathematics, Shanghai Normal University, Shanghai 200234, ChinaDepartment of Mathematics, Shanghai Normal University, Shanghai 200234, ChinaAlmost 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.http://dx.doi.org/10.1155/2014/621359 |
| spellingShingle | Qian Guo Xueyin Tao The Semimartingale Approach to Almost Sure Stability Analysis of a Two-Stage Numerical Method for Stochastic Delay Differential Equation Abstract and Applied Analysis |
| title | The Semimartingale Approach to Almost Sure Stability Analysis of a Two-Stage Numerical Method for Stochastic Delay Differential Equation |
| title_full | The Semimartingale Approach to Almost Sure Stability Analysis of a Two-Stage Numerical Method for Stochastic Delay Differential Equation |
| title_fullStr | The Semimartingale Approach to Almost Sure Stability Analysis of a Two-Stage Numerical Method for Stochastic Delay Differential Equation |
| title_full_unstemmed | The Semimartingale Approach to Almost Sure Stability Analysis of a Two-Stage Numerical Method for Stochastic Delay Differential Equation |
| title_short | The Semimartingale Approach to Almost Sure Stability Analysis of a Two-Stage Numerical Method for Stochastic Delay Differential Equation |
| title_sort | semimartingale approach to almost sure stability analysis of a two stage numerical method for stochastic delay differential equation |
| url | http://dx.doi.org/10.1155/2014/621359 |
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