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

DOI10.1155/2014/157498MaRDI QIDQ1722210zbMATH OpenOpenAlexWikidataFDO

Authors Chao Yue, Chengming Huang

Publication date 14 February 2019

Published in Abstract and Applied Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2014/157498

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for functional-differential equations (65L03)

Review text

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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Cited in

(13)

• Strong convergence of the split-step theta method for neutral stochastic delay differential equations
• The strong convergence and stability of explicit approximations for nonlinear stochastic delay differential equations
• Split-step theta Milstein methods for SDEs with non-globally Lipschitz diffusion coefficients
• The truncated \(\theta \)-Milstein method for nonautonomous and highly nonlinear stochastic differential delay equations
• On strong convergence of explicit numerical methods for stochastic delay differential equations under non-global Lipschitz conditions
• Strong convergence of the split-step backward Euler method for stochastic delay differential equations with a nonlinear diffusion coefficient
• High-order split-step theta methods for non-autonomous stochastic differential equations with non-globally Lipschitz continuous coefficients
• Strong convergence of the split-step one-leg methods for stochastic differential equations
• Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients
• Convergence and stability of split-step theta methods with variable step-size for stochastic pantograph differential equations
• Strong convergence of the split-step method for neutral stochastic delay differential equations
• Strong Convergence Analysis of Split-Step θ-Scheme for Nonlinear Stochastic Differential Equations with Jumps
• Theta method to approximate fixed points of nonexpansive multimaps in Banach spaces

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