Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions

DOI10.1016/j.amc.2010.12.023zbMath1215.65015MaRDI QIDQ628907

Xuerong Mao

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

zbMATH Keywords

convergence; numerical examples; Brownian motion; Itô's formula; stochastic differential delay equation; Euler-Maruyama approximation scheme; Khasminskii-type conditions

Mathematics Subject Classification ID

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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