Convergence order of one point large deviations rate functions for backward Euler method of stochastic delay differential equations with small noise

DOI10.1016/J.APNUM.2024.04.013MaRDI QIDQ6577583zbMATH OpenFDO

Authors Ziheng Chen, Daoyan Wang, Lin Chen

Publication date 24 July 2024

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

zbMATH Keywords

backward Euler methodstochastic delay differential equationsnon-globally Lipschitz conditionconvergence order of one point large deviations rate functions

Mathematics Subject Classification ID

Large deviations (60F10) Stochastic functional-differential equations (34K50) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

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• Convergence rates of large deviations probabilities for point estimators
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• Efficient large deviation estimation based on importance sampling
• Exit time asymptotics for small noise stochastic delay differential equations
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• Large deviations in Monte Carlo methods
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• On the asymptotic normality of adaptive multilevel splitting
• Random Perturbations of Dynamical Systems
• Short time large deviations of the KPZ equation
• Stochastic numerics for mathematical physics
• The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions
• The strong convergence and stability of explicit approximations for nonlinear stochastic delay differential equations

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