The truncated Euler-Maruyama method for stochastic differential delay equations
Guo, Qian and Mao, Xuerong and Yue, Rongxian (2017) The truncated Euler-Maruyama method for stochastic differential delay equations. Numerical Algorithms. ISSN 1017-1398 (https://doi.org/10.1007/s11075-017-0391-0)
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Abstract
The numerical solutions of stochastic differential delay equations (SDDEs) under the generalized Khasminskii-type condition were discussed by Mao [15], and the theory there showed that the Euler-Maruyama (EM) numerical solutions converge to the true solutions in probability. However, there is so far no result on the strong convergence (namely in Lp) of the numerical solutions for the SDDEs under this generalized condition. In this paper, we will use the truncated EM method developed by Mao [16] to study the strong convergence of the numerical solutions for the SDDEs under the generalized Khasminskii-type condition.
ORCID iDs
Guo, Qian, Mao, Xuerong ORCID: https://orcid.org/0000-0002-6768-9864 and Yue, Rongxian;-
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Item type: Article ID code: 61480 Dates: DateEvent11 August 2017Published11 August 2017Published Online31 July 2017AcceptedSubjects: Science > Mathematics Department: Faculty of Science > Mathematics and Statistics Depositing user: Pure Administrator Date deposited: 04 Aug 2017 15:58 Last modified: 26 Nov 2024 01:11 Related URLs: URI: https://strathprints.strath.ac.uk/id/eprint/61480