TY - JOUR
T1 - Stability of the Stochastic θ-Method for Super-Linear Stochastic Differential Equations with Unbounded Delay
AU - Chen , Lin
JO - Journal of Computational Mathematics
VL - 5
SP - 704
EP - 720
PY - 2019
DA - 2019/03
SN - 37
DO - http://doi.org/10.4208/jcm.1808-m2018-0005
UR - https://global-sci.org/intro/article_detail/jcm/13042.html
KW - Unbounded delay, Monotone condition, Polynomial condition, Stochastic θ-method, Decay stability.
AB - <p style="text-align: justify;">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.</p>