Mean square stability analysis of semi-implicit milstein scheme for linear stochastic delay differential equations

Norhayati, Rosli and Amalina Nisa, Ariffin and Yeak, Su Hoe and Arifah, Bahar (2017) Mean square stability analysis of semi-implicit milstein scheme for linear stochastic delay differential equations. In: 3rd INTERNATIONAL CONFERENCE ON COMPUTING, MATHEMATICS AND STATISTICS 2017 (iCMS2017) , 7-8 November 2017 , Langkawi, Malaysia. pp. 1-7.. (Unpublished)

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Abstract

This paper is devoted to investigate the mean square stability of semiimplicit Milstein scheme in approximating the solution of linear stochastic delay differential equations (SDDEs). Semi-implicit Milstein scheme is proposed by extending an explicit Milstein to its semi-implicit counterparts. A method is said to be semi-implicit if it is implicit in drift term and explicit in diffusion term. The condition under which the method is mean square stable is determined. The results show that the semi-implicit Milstein scheme preserves the stability property for linear SDDEs under certain conditions of constant coefficients. Numerical experiments are conducted to verify the results.

Item Type:	Conference or Workshop Item (Speech)
Uncontrolled Keywords:	Milstein scheme; Semi-implicit methods
Subjects:	Q Science > Q Science (General)
Faculty/Division:	Faculty of Industrial Sciences And Technology
Depositing User:	Mrs. Neng Sury Sulaiman
Date Deposited:	24 Jul 2018 07:10
Last Modified:	24 Jul 2018 07:10
URI:	http://umpir.ump.edu.my/id/eprint/20484
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