Delay dependent stability of stochastic split-step theta methods for stochastic delay differential equations

摘要

In this paper, the delay dependent asymptotic mean square stability of the stochastic split-step theta method for a scalar linear stochastic delay differential equation with real coefficients is studied. The full stability region of this method is given by using root locus technique. The necessary and sufficient condition with respect to the equation coefficients, time stepsize and method parameter theta is derived. It is proved that the stochastic split-step backward Euler can preserve the asymptotic mean square stability of the underlying system completely. In addition, the numerical stability regions of the stochastic split-step theta method and the stochastic theta method are compared with each other. At last, we validate our conclusions by numerical experiments. (C) 2018 Elsevier Inc. All rights reserved.