Strong Convergence of the Split-Step Theta Method for Stochastic Delay Differential Equations with Nonglobally Lipschitz Continuous Coefficients
Joint Authors
Source
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-08-20
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
This paper is concerned with the convergence analysis of numerical methods for stochastic delay differential equations.
We consider the split-step theta method for nonlinear nonautonomous equations and prove the strong convergence of the numerical solution under a local Lipschitz condition and a coupled condition on the drift and diffusion coefficients.
In particular, these conditions admit that the diffusion coefficient is highly nonlinear.
Furthermore, the obtained results are supported by numerical experiments.
American Psychological Association (APA)
Yue, Chao& Huang, Chengming. 2014. Strong Convergence of the Split-Step Theta Method for Stochastic Delay Differential Equations with Nonglobally Lipschitz Continuous Coefficients. Abstract and Applied Analysis،Vol. 2014, no. 2014, pp.1-9.
https://search.emarefa.net/detail/BIM-1013372
Modern Language Association (MLA)
Yue, Chao& Huang, Chengming. Strong Convergence of the Split-Step Theta Method for Stochastic Delay Differential Equations with Nonglobally Lipschitz Continuous Coefficients. Abstract and Applied Analysis No. 2014 (2014), pp.1-9.
https://search.emarefa.net/detail/BIM-1013372
American Medical Association (AMA)
Yue, Chao& Huang, Chengming. Strong Convergence of the Split-Step Theta Method for Stochastic Delay Differential Equations with Nonglobally Lipschitz Continuous Coefficients. Abstract and Applied Analysis. 2014. Vol. 2014, no. 2014, pp.1-9.
https://search.emarefa.net/detail/BIM-1013372
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1013372