An Euler scheme for stochastic delay differential equations on unbounded domains: pathwise convergence

DOI10.3934/dcdsb.2015.20.23zbMath1325.65015OpenAlexW2331301548MaRDI QIDQ480025

Andreas Neuenkirch, Esmail Babolian, Bahareh Akhtari

Publication date: 8 December 2014

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdsb.2015.20.23

zbMATH Keywords

reflectiondomainlocally Lipschitzpathwise convergencestochastic delay differential equations

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) 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)

Related Items (2)

Numerical solution of stochastic state-dependent delay differential equations: convergence and stability ⋮ Pathwise convergence under Knightian uncertainty

Cites Work

• The exponential integrator scheme for stochastic partial differential equations: Pathwise error bounds
• Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients
• Pathwise numerical approximations of SPDEs with additive noise under non-global Lipschitz coefficients
• A note on Euler's approximations
• Stochastic differential delay equations of population dynamics
• Numerical solutions of stochastic differential delay equations under local Lipschitz condition
• A note on Euler approximations for stochastic differential equations with delay
• Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
• The Pathwise Convergence of Approximation Schemes for Stochastic Differential Equations
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• A STUDY OF A CLASS OF NONLINEAR STOCHASTIC DELAY DIFFERENTIAL EQUATIONS
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