On strong convergence of explicit numerical methods for stochastic delay differential equations under non-global Lipschitz conditions

DOI10.1016/j.cam.2020.113079WikidataQ115359735 ScholiaQ115359735MaRDI QIDQ2196049

Jia Liang, Wan-Rong Cao, Yu-Fen Liu

Publication date: 28 August 2020

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2020.113079

zbMATH Keywords

time delay; nonlinear problems; fundamental theorem on convergence; one-step explicit schemes; the balanced Euler scheme

Mathematics Subject Classification ID

65L20: Stability and convergence of numerical methods for ordinary differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

65L03: Numerical methods for functional-differential equations

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