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- W2983590853 abstract "This paper investigates the almost sure exponential stability of Milstein-type schemes for stochastic delay differential equations (SDDEs) using the discrete semimartingale convergence theorem. It is shown that the Milstein scheme can preserve the almost sure stability of the exact solution under a linear growth condition on the drift. If the drift defies the linear growth condition, but satisfies a one-sided Lipschitz condition, we show backward Milstein scheme can share the almost sure exponential stability. Moreover, the exponential decay rates of the two classes of Milstein schemes are also investigated. Numerical experiments are performed to confirm our theoretic findings." @default.
- W2983590853 created "2019-11-22" @default.
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- W2983590853 date "2020-02-01" @default.
- W2983590853 modified "2023-10-12" @default.
- W2983590853 title "Almost sure exponential stability of the Milstein-type schemes for stochastic delay differential equations" @default.
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- W2983590853 doi "https://doi.org/10.1016/j.chaos.2019.109499" @default.
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