Numerical approximation of stochastic differential delay equation with coefficients of polynomial growth (Q2363669)

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Numerical approximation of stochastic differential delay equation with coefficients of polynomial growth
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    Numerical approximation of stochastic differential delay equation with coefficients of polynomial growth (English)
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    25 July 2017
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    It is proved that the stochastic differential delay equation (SDDE) \[ dx(t)=f(x(t),x(t-\tau))dt+g(x(t),\,\,x(t-\tau))dw(t), \] where \(f\) has one-sided polynomial growth and \(g\) has polynomial growth, almost surely has a unique solution which is almost surely exponentially stable. Also it is proved that Euler-Maruyama (EM) numerical approximations of the solution of the SDDE converge in probability. Summarized numerical results for an example of a nonlinear SDDE demonstrate the effectiveness of the EM method in approximating its solution.
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    stochastic differential delay equation
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    convergence in probability
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    one-sided polynomial growth conditions
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    Euler Maruyama method
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    stopping time
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    numerical result
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