Truncated Euler-Maruyama method for hybrid stochastic functional differential equations with infinite time delay
Zhou, Jingchao and Xu, Henglei and Mao, Xuerong (2026) Truncated Euler-Maruyama method for hybrid stochastic functional differential equations with infinite time delay. Journal of Computational and Applied Mathematics, 472. 116773. ISSN 0377-0427 (https://doi.org/10.1016/j.cam.2025.116773)
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Abstract
Li et al. (2023) developed a new theory to approximate the solution of hybrid stochastic functional differential equations (SFDEs) with infinite time delay via the numerical solution of the corresponding hybrid SFDEs with finite time delay. But hybrid SFDEs were required to be globally Lipschitz continuous. In this paper, we will lift this restriction. Under the local Lipschitz condition and the Khasminskii-type condition, numerical solutions of hybrid SFDEs with infinite time delay will be designed by using the truncated Euler–Maruyama method. The strong convergence and convergence rate of the numerical solutions in ( ≥ 2) will be obtained. Finally, an example to stochastic functional volatility model is given to demonstrate the effectiveness of our new theory.
ORCID iDs
Zhou, Jingchao, Xu, Henglei

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Item type: Article ID code: 92872 Dates: DateEvent15 January 2026Published27 May 2025Published Online12 May 2025AcceptedSubjects: Science > Mathematics Department: Faculty of Science > Mathematics and Statistics Depositing user: Pure Administrator Date deposited: 16 May 2025 14:58 Last modified: 09 Jun 2025 08:42 Related URLs: URI: https://strathprints.strath.ac.uk/id/eprint/92872