Almost sure and \(L^p\) convergence of split-step backward Euler method for stochastic delay differential equation (Q1724003)
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scientific article; zbMATH DE number 7022289
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Almost sure and \(L^p\) convergence of split-step backward Euler method for stochastic delay differential equation |
scientific article; zbMATH DE number 7022289 |
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Almost sure and \(L^p\) convergence of split-step backward Euler method for stochastic delay differential equation (English)
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14 February 2019
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Summary: The convergence of the split-step backward Euler (SSBE) method applied to stochastic differential equation with variable delay is proven in \(L^p\)-sense. Almost sure convergence is derived from the \(L^p\) convergence by Chebyshev's inequality and the Borel-Cantelli lemma; meanwhile, the convergence rate is obtained.
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