MEAN-SQUARE CONVERGENCE AND STABILITY OF BALANCED METHOD FOR STOCHASTIC DELAY DIFFERENTIAL EQUATIONS
Tan Yingxian1, Gan Siqing2, Wang Xiaojie2
1. Department of Mathematics, Hunan Institute of Humanities Science and technology, Loudi 417000, Hunan, China;
2. School of Mathematical Sciences and Computing Technology, Central South University, Changsha 410075, China
This paper investigates the balanced method for solving stiff stochastic delay differential equations. It is proved that the balanced method is mean-square convergent with strong order 1/2. Moreover, we give mean-square stability condition of the balanced method for linear stochastic delay differential equations.
. MEAN-SQUARE CONVERGENCE AND STABILITY OF BALANCED METHOD FOR STOCHASTIC DELAY DIFFERENTIAL EQUATIONS[J]. Mathematica Numerica Sinica, 2011, 33(1): 25-36.
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