Strong convergence of the split-step theta method for stochastic delay differential equations with nonglobally Lipschitz continuous coefficients (Q1722210)

Summary: This paper is concerned with the convergence analysis of numerical methods for stochastic delay differential equations. We consider the split-step theta method for nonlinear nonautonomous equations and prove the strong convergence of the numerical solution under a local Lipschitz condition and a coupled condition on the drift and diffusion coefficients. In particular, these conditions admit that the diffusion coefficient is highly nonlinear. Furthermore, the obtained results are supported by numerical experiments.