A note on Euler approximations for stochastic differential equations with delay (Q2441390)

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.