Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions

DOI10.1016/j.amc.2010.12.023zbMath1215.65015OpenAlexW2031434210MaRDI QIDQ628907

Xuerong Mao

Publication date: 8 March 2011

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2010.12.023

zbMATH Keywords

convergencenumerical examplesBrownian motionItô's formulastochastic differential delay equationEuler-Maruyama approximation schemeKhasminskii-type conditions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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