A note on Euler approximations for stochastic differential equations with delay (Q2441390): Difference between revisions

Under local monotonicity conditions rather than local Lipschitz conditions, existence and uniqueness is proved for the solution of the stochastic delay differential equation (SDDE) \[ \begin{multlined} dX(t)= \beta(t, X(\delta_1(t)),\dots, X(\delta_k(t)),X(t))\,dt+\\ \alpha(t,X(\delta_1(t)), \dots,X(\delta_k(t)), X(t))\,dW_t,\;X(t)=\xi(t),\;\forall t\in [-C,0],\end{multlined} \] where the delays \(\delta_i(t)\) are increasing functions of \(t\) and \(W\) is an \(m\)-dimensional Wiener martingale. Convergence of the Euler method approximations of the SDDE is proved. A theorem establishing the rate of convergence of the Euler method approximations of the SDDE is also proved.