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

DOI10.3934/DCDSB.2015.20.23MaRDI QIDQ480025zbMATH OpenOpenAlexFDO

Authors Bahareh Akhtari, E. Babolian, A. Neuenkirch

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

domainlocally Lipschitzpathwise convergencereflectionstochastic delay differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for functional-differential equations (65L03)

Cites work

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• Numerical solutions of stochastic differential delay equations under local Lipschitz condition
• 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
• Stochastic differential delay equations of population dynamics
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• The exponential integrator scheme for stochastic partial differential equations: Pathwise error bounds
• The pathwise convergence of approximation schemes for stochastic differential equations

Cited in

(4)

• Pathwise convergence under Knightian uncertainty
• Numerical solution of stochastic state-dependent delay differential equations: convergence and stability
• Practical stability of stochastic functional differential equations with infinite delay
• An adaptive time-stepping scheme for a perturbed DDE driven by white noise

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