Title: Convergence and stability of the split-step backward Euler method for linear stochastic delay integro-differential equations
Abstract: In this paper, we focus on the numerical approximation of solutions of linear stochastic delay integro-differential equations (SDIDEs). Split-step backward Euler (SSBE) method for solving linear stochastic delay integro-differential equations is derived. It is proved that the SSBE method is convergent with strong order γ=12 in the mean-square sense. The condition under which the SSBE method is mean-square stable (MS-stable) is obtained. At last some scalar test equations are simulated. The numerical experiments verify the results obtained from theory.
Publication Year: 2010
Publication Date: 2010-03-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 26
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