On approximation of solutions of stochastic delay differential equations via randomized Euler scheme

DOI10.1016/J.APNUM.2023.11.008MaRDI QIDQ6131507zbMATH OpenFDO

Authors

Publication date 5 April 2024

Published in Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2306.08926

zbMATH Keywords

Wiener processstochastic differential equationsconstant delayrandomized Euler schemeCarathéodory-type conditions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: We investigate existence, uniqueness and approximation of solutions to stochastic delay differential equations (SDDEs) under Carath'eodory-type drift coefficients. Moreover, we also assume that both drift $f=f(t,x,z)$ and diffusion $g=g(t,x,z)$ coefficient are Lipschitz continuous with respect to the space variable $x$, but only H"older continuous with respect to the delay variable $z$. We provide a construction of randomized Euler scheme for approximation of solutions of Carath'eodory SDDEs, and investigate its upper error bound. Finally, we report results of numerical experiments that confirm our theoretical findings.

Recommendations

• Existence, uniqueness and approximation of solutions to Carathéodory delay differential equations
• Carathéodory's approximate solution to stochastic differential delay equation
• A note on Euler approximations for stochastic differential equations with delay
• Strong convergence of Euler approximations of stochastic differential equations with delay under local Lipschitz condition
• The strong convergence and stability of explicit approximations for nonlinear stochastic delay differential equations

Cites work

• scientific article; zbMATH DE number 193625 (Why is no real title available?)
• A random Euler scheme for Carathéodory differential equations
• A randomized Milstein method for stochastic differential equations with non-differentiable drift coefficients
• Complexity of Banach space valued and parametric stochastic Itô integration
• Complexity of stochastic integration in Sobolev classes
• Efficient approximation of SDEs driven by countably dimensional Wiener process and Poisson random measure
• Error analysis of randomized Runge-Kutta methods for differential equations with time-irregular coefficients
• Numerical Methods for Stochastic Delay Differential Equations Via the Wong--Zakai Approximation
• On the randomized Euler schemes for ODEs under inexact information
• Optimal pointwise approximation of SDE's from inexact information
• Probability and stochastics.
• Randomized Runge-Kutta method -- stability and convergence under inexact information
• Randomized derivative-free Milstein algorithm for efficient approximation of solutions of SDEs under noisy information
• Stochastic differential equations and applications.
• Stochastic differential equations, backward SDEs, partial differential equations
• Strong approximation of solutions of stochastic differential equations with time-irregular coefficients via randomized Euler algorithm
• The randomized complexity of initial value problems
• Theory of stochastic differential equations with jumps and applications.

This page was built for publication: On approximation of solutions of stochastic delay differential equations via randomized Euler scheme

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6131507)