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Strong Convergence of the Split-Step Theta Method for Stochastic Delay Differential Equations with Nonglobally Lipschitz Continuous Coefficients
oleh: Chao Yue, Chengming Huang
Format: | Article |
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Diterbitkan: | Wiley 2014-01-01 |
Deskripsi
This paper is concerned with the convergence analysis of numerical methods for stochastic delay differential equations. We consider the split-step theta method for nonlinear nonautonomous equations and prove the strong convergence of the numerical solution under a local Lipschitz condition and a coupled condition on the drift and diffusion coefficients. In particular, these conditions admit that the diffusion coefficient is highly nonlinear. Furthermore, the obtained results are supported by numerical experiments.