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Stability analysis of first order S-ROCK methods for stochastic differential equations with delays in the deterministic part.
- Source :
-
AIP Conference Proceedings . 2024, Vol. 3094 Issue 1, p1-4. 4p. - Publication Year :
- 2024
-
Abstract
- An attempt to study the stability of first order S-ROCK methods applied to a stochastic differential equation with a delay in the deterministic part. The previous results for stochastic differential equations and delay differential equations are possible to be generalized since the splitting technique used in S-ROCKs for the stochastic part. Thus mean square stability notion is combined with P-stability for delay equations. Some choice of "optimal" damping coefficient of S-ROCKs is done. [ABSTRACT FROM AUTHOR]
- Subjects :
- *STOCHASTIC differential equations
*DELAY differential equations
Subjects
Details
- Language :
- English
- ISSN :
- 0094243X
- Volume :
- 3094
- Issue :
- 1
- Database :
- Academic Search Index
- Journal :
- AIP Conference Proceedings
- Publication Type :
- Conference
- Accession number :
- 177745289
- Full Text :
- https://doi.org/10.1063/5.0210681