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.2024.04.013zbMATH Open1546.65005MaRDI QIDQ6577583FDOQ6577583
Authors: Ziheng Chen, Daoyan Wang, Lin Chen 
Publication date: 24 July 2024
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
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backward Euler methodstochastic delay differential equationsnon-globally Lipschitz conditionconvergence order of one point large deviations rate functions
Large deviations (60F10) Stochastic functional-differential equations (34K50) Numerical solutions to stochastic differential and integral equations (65C30)
Cites Work
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- Convergence and stability of the backward Euler method for jump-diffusion SDEs with super-linearly growing diffusion and jump coefficients
- Large Deviations for Markov Chains
- On the asymptotic normality of adaptive multilevel splitting
- Convergence rates of large deviations probabilities for point estimators
- Asymptotic Analysis for Functional Stochastic Differential Equations
- Large deviations in Monte Carlo methods
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- Delay Differential Equations and Applications to Biology
- Stochastic numerics for mathematical physics
- Short time large deviations of the KPZ equation
- The strong convergence and stability of explicit approximations for nonlinear stochastic delay differential equations
- Asymptotically-preserving large deviations principles by stochastic symplectic methods for a linear stochastic oscillator
- A symplectic discontinuous Galerkin full discretization for stochastic Maxwell equations
- A minimum action method for dynamical systems with constant time delays
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