Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions
DOI10.1016/j.amc.2010.12.023zbMath1215.65015MaRDI QIDQ628907
Publication date: 8 March 2011
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2010.12.023
convergence; numerical examples; Brownian motion; Itô's formula; stochastic differential delay equation; Euler-Maruyama approximation scheme; Khasminskii-type conditions
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
34K50: Stochastic functional-differential equations
34F05: Ordinary differential equations and systems with randomness
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
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