Mean-Square Stability Analysis of Euler-Maruyama Method for Scalar Stochastic Delay Differential Equations

WANG  Qi

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Mean-Square Stability Analysis of Euler-Maruyama Method for Scalar Stochastic Delay Differential Equations

更新时间：2026-05-27

- Mean-Square Stability Analysis of Euler-Maruyama Method for Scalar Stochastic Delay Differential Equations
- Vol. 28, Issue 1, Pages: 50-53(2011)
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- Online First：25 December 2011，
  
  Published：2011
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王琦. 标量随机延迟微分方程Euler-Maruyama方法的均方稳定性分析[J]. 广东工业大学学报, 2011, 28(1): 50-53.

WANG Qi. Mean-Square Stability Analysis of Euler-Maruyama Method for Scalar Stochastic Delay Differential Equations[J]. 2011, 28(1): 50-53.
王琦. 标量随机延迟微分方程Euler-Maruyama方法的均方稳定性分析[J]. 广东工业大学学报, 2011, 28(1): 50-53. DOI：

WANG Qi. Mean-Square Stability Analysis of Euler-Maruyama Method for Scalar Stochastic Delay Differential Equations[J]. 2011, 28(1): 50-53. DOI：

摘要

在解析解均方稳定的条件下研究带有乘性噪声的标量随机延迟微分方程Euler-Maruyama方法的均方稳定性.证明了当步长满足一定限制时

数值解是均方稳定的.数值算例验证了理论结果的正确性.

Abstract

Mean-square stability of Euler-Maruyama method is studied for scalar stochastic delay differential equations with multiplicative noise under the condition of analytical mean-square stability.It is proven that the numerical solution is mean-square stable when the stepsize satisfies certain restrictions.Numerical examples verify the theoretical results.

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references

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