In this paper, a semi-implicit split-step µ-Milstein method is developed for solving linear It^ o stochastic delay difierential equations with an initial function. The It^ o-Taylor expansion is employed to directly prove the strong convergence results without using anticipative calculus. The mean-square stability is also discussed. Numerical examples are presented to conflrm the theoretical results.
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Qian Guo (2013) studied this question.
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