Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions (Q628907): Difference between revisions

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.