Split-Step \(\theta \) -Method for Stochastic Pantograph Differential Equations
摘要
This chapter introduces a split-step \(\theta \) -method (SS \(\theta \) -method) with variable stepsizes for solving stochastic pantograph delay differential equations (SPADES). We establish the mean-square convergence of the proposed SS \(\theta \) -method and show that it achieves a strong convergence order of order \(1/2\) . Under certain assumptions, we prove that the SS \(\theta \) -method is exponentially mean-square stable for \(\theta \geq 0.5\) . Additionally, we analyze the asymptotic mean-square stability of the SS \(\theta \) -method under a stronger assumption. Finally, numerical examples illustrate the effectiveness of the proposed methods.