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计算数学 2010
MEAN-SQUARE STABILITY OF EULER METHOD FOR LINEAR NEUTRAL STOCHASTIC DELAY DIFFERENTIAL EQUATIONS
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Abstract:
So far there are not many results on the numerical stability of linear neutral stochastic delay differential equations. The main aim of this paper is to establish new results on the numerical stability. It is proved that the Euler method is mean-square stable under suitable condition. Moreover, the result is also verified by a numerical example.