Almost Sure and Lp Convergence of Split-Step Backward Euler Method for Stochastic Delay Differential Equation
Joint Authors
Source
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-06-04
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract EN
The convergence of the split-step backward Euler (SSBE) method applied to stochastic differential equation with variable delay is proven in Lp-sense.
Almost sure convergence is derived from the Lp convergence by Chebyshev’s inequality and the Borel-Cantelli lemma; meanwhile, the convergence rate is obtained.
American Psychological Association (APA)
Guo, Qian& Tao, Xueyin. 2014. Almost Sure and Lp Convergence of Split-Step Backward Euler Method for Stochastic Delay Differential Equation. Abstract and Applied Analysis،Vol. 2014, no. 2014, pp.1-7.
https://search.emarefa.net/detail/BIM-1033734
Modern Language Association (MLA)
Guo, Qian& Tao, Xueyin. Almost Sure and Lp Convergence of Split-Step Backward Euler Method for Stochastic Delay Differential Equation. Abstract and Applied Analysis No. 2014 (2014), pp.1-7.
https://search.emarefa.net/detail/BIM-1033734
American Medical Association (AMA)
Guo, Qian& Tao, Xueyin. Almost Sure and Lp Convergence of Split-Step Backward Euler Method for Stochastic Delay Differential Equation. Abstract and Applied Analysis. 2014. Vol. 2014, no. 2014, pp.1-7.
https://search.emarefa.net/detail/BIM-1033734
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1033734
