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

DOI10.1016/J.APNUM.2023.11.008arXiv2306.08926MaRDI QIDQ6131507FDOQ6131507

Authors:

Publication date: 5 April 2024

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

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.

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)

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