Strong convergence of the split-step theta method for stochastic delay differential equations with nonglobally Lipschitz continuous coefficients (Q1722210)
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English | Strong convergence of the split-step theta method for stochastic delay differential equations with nonglobally Lipschitz continuous coefficients |
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Strong convergence of the split-step theta method for stochastic delay differential equations with nonglobally Lipschitz continuous coefficients (English)
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14 February 2019
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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.
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