Projected Euler-Maruyama method for stochastic delay differential equations under a global monotonicity condition

DOI10.1016/J.AMC.2019.124733MaRDI QIDQ2284759zbMATH OpenOpenAlexWikidataFDO

Authors Min Li, Chengming Huang

Publication date 15 January 2020

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1810.09647

zbMATH Keywords

B-consistencyC-stabilityprojected Euler-Maruyama methodstochastic delay differential equationstrong convergence

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

Abstract: This paper investigates projected Euler-Maruyama method for stochastic delay differential equations under a global monotonicity condition. This condition admits some equations with highly nonlinear drift and diffusion coefficients. We appropriately generalized the idea of C-stability and B-consistency given by Beyn et al. [J. Sci. Comput. 67 (2016), no. 3, 955-987] to the case with delay. Moreover, the method is proved to be convergent with order $frac12$ in a succinct way. Finally, some numerical examples are included to illustrate the obtained theoretical results.

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Cited in

(12)

• The strong convergence and stability of explicit approximations for nonlinear stochastic delay differential equations
• Strong convergence of explicit schemes for highly nonlinear stochastic differential equations with Markovian switching
• Numerical simulations of stochastic differential equations with multiple conserved quantities by conservative methods
• The Truncated Em Method for Jump-Diffusion Sddes with Super-Linearly Growing Diffusion and Jump Coefficients
• The convergence analysis of the truncated EM scheme for the stochastic delay differential equations
• Strong order one convergence of the projected Euler-Maruyama method for scalar SDEs defined in the positive domain
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• Tamed stochastic Runge-Kutta-Chebyshev methods for stochastic differential equations with non-globally Lipschitz coefficients
• The convergence analyzed by stochastic C-stability and stochastic B-consistency of split-step theta method for the stochastic differential equations
• Strong order one convergence of the projected Euler-Maruyama method for the Wright-Fisher model
• The exponential integrability properties and strong convergence rate of an explicit Euler's method for highly nonlinear stochastic differential equations
• Stochastic parareal algorithm for stochastic differential equations

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