Numerical solutions of stochastic differential delay equations under local Lipschitz condition

Authors:
Xuerong Mao;Sotirios Sabanis
Affiliations:
Department of Statistics and Modelling Science, University of Strathclyde, Glasgow G1 1XH, UK;Department of Mathematics and Statistics, University of Edinburgh, Edinburgh EH9 3JZ, UK
Venue:
Journal of Computational and Applied Mathematics
Year:
2003

Citing 4
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Abstract

In this paper a variant of the Euler-Maruyama method is used to define the numerical solutions for stochastic differential delay equations (SDDEs) with variable delay. The key aim is to show that the numerical solutions will converge to the true solutions of the SDDEs under the local Lipschitz condition.