The Semimartingale Approach to Almost Sure Stability Analysis of a Two-Stage Numerical Method for Stochastic Delay Differential Equation.

Almost sure exponential stability of the split-step backward Euler (SSBE) method applied to an Itô-type stochastic differential equation with time-varying delay is discussed by the techniques based on Doob-Mayer decomposition and semimartingale convergence theorem. Numerical experiments confirm the theoretical analysis. [ABSTRACT FROM AUTHOR]