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

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.