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Zbl 1074.65007
Cao, Wanrong; Liu, Mingzhu; Fan, Zhencheng
MS-stability of the Euler--Maruyama method for stochastic differential delay equations. (English)
[J] Appl. Math. Comput. 159, No. 1, 127-135 (2004). ISSN 0096-3003

The authors analyse the mean square stability behaviour of the Euler-Maruyama method applied to a linear, scalar stochastic delay differential equation in which the same constant delay appears in both the deterministic and stochastic terms.
[Kevin Burrage (Brisbane)]
MSC 2000:
*65C30 Stochastic differential and integral equations
34K50 Stochastic delay equations
60H10 Stochastic ordinary differential equations
60H35 Computational methods for stochastic equations

Keywords: stochastic differential delay equations; Euler-Maruyama method; mean square stability

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