On strong convergence of explicit numerical methods for stochastic delay differential equations under non-global Lipschitz conditions

DOI10.1016/j.cam.2020.113079OpenAlexW3037483705WikidataQ115359735 ScholiaQ115359735MaRDI QIDQ2196049

Jia Liang, Wan-Rong Cao, Yu-Fen Liu

Publication date: 28 August 2020

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

Full work available at URL: https://doi.org/10.1016/j.cam.2020.113079

zbMATH Keywords

time delaynonlinear problemsfundamental theorem on convergenceone-step explicit schemesthe balanced Euler scheme

Mathematics Subject Classification ID

Stability and convergence of numerical methods for ordinary differential equations (65L20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for functional-differential equations (65L03)

Related Items (5)

Convergence and Stability of an Explicit Method for Autonomous Time-Changed Stochastic Differential Equations with Super-Linear Coefficients ⋮ The Truncated Em Method for Jump-Diffusion Sddes with Super-Linearly Growing Diffusion and Jump Coefficients ⋮ Tamed EM schemes for neutral stochastic differential delay equations with superlinear diffusion coefficients ⋮ Split-step balanced \(\theta \)-method for SDEs with non-globally Lipschitz continuous coefficients ⋮ Strong 1.5 order scheme for second-order stochastic differential equations without Levy area

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