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期刊论文
An Analysis of Stability of Milstein Method for Stochastic Differential Equations With Delay
Computers and Mathematics with Applications 51 (2006) 1445-1452,-0001,():
This paper deals with the adapted Milstein method for solving linear stochastic delay differential equations. It is proved that the numerical method is mean-square (MS) stable under suitable conditions. The obtained result shows that the method preserves the stability property of a class of linear-coefficient problems. This is also verified by several numerical examples.
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