T-Stability of the Heun Method and Balanced Method for Solving Stochastic Differential Delay Equations

This paper studies the T-stability of the Heun method and balanced method for solving stochastic differential delay equations (SDDEs). Two T-stable conditions of the Heun method are obtained for two kinds of linear SDDEs. Moreover, two conditions under which the balanced method is T-stable are obtai...

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Bibliographic Details
Published in:Journal of Applied Mathematics 2014-01, Vol.2014 (2014), p.71-80-507
Main Authors: Zhu, Xiaolin, Peng, Hu
Format: Article
Language:English
Subjects:
Analysis
Balancing
Delay
Differential equations
Economic models
Mathematical analysis
Mathematical models
Methods
Numerical analysis
Random variables
Stochastic differential equations
Stochasticity
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Summary:This paper studies the T-stability of the Heun method and balanced method for solving stochastic differential delay equations (SDDEs). Two T-stable conditions of the Heun method are obtained for two kinds of linear SDDEs. Moreover, two conditions under which the balanced method is T-stable are obtained for two kinds of linear SDDEs. Some numerical examples verify the theoretical results proposed.
ISSN:1110-757X
1687-0042
DOI:10.1155/2014/545830