Numerical solutions of stochastic differential delay equations under local Lipschitz condition

DOI10.1016/S0377-0427(02)00750-1zbMath1015.65002OpenAlexW2140333923MaRDI QIDQ1861323

Xuerong Mao, Sotirios Sabanis

Publication date: 16 March 2003

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0377-0427(02)00750-1

zbMATH Keywords

convergenceBrownian motionlocal Lipschitz conditionEuler-Maruyama methodstochastic differential delay equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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• Introduction to functional differential equations
• Some issues in discrete approximate solution for stochastic differential equations
• Introduction to the numerical analysis of stochastic delay differential equations
• Numerical Analysis of Explicit One-Step Methods for Stochastic Delay Differential Equations
• Approximate solutions for a class of stochastic evolution equations with variable delays. II
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Robustness of exponential stability of stochastic differential delay equations
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations

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