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Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions
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    Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions (English)
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    8 March 2011
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    Existence and uniqueness of the solution to a stochastic differential delay equation (SDDE) are usually obtained under local Lipschitz and linear growth conditions. The Euler-Maruyama (EM) approximation method also works under such conditions. As linear growth is a rather restrictive condition, it is often replaced with a general Khasminskii-type one. The aim of this paper is to prove the convergence of the EM approximation scheme for SDDEs under local Lipschitz and Khasminskii-type conditions. Some examples are discussed.
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    Brownian motion
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    stochastic differential delay equation
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    Euler-Maruyama approximation scheme
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    Itô's formula
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    convergence
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    Khasminskii-type conditions
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    numerical examples
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