A Note on Euler Approximations for Stochastic Differential Equations with Delay
Journal Article
·
· Applied Mathematics and Optimization
- University of Edinburgh, Maxwell Institute for Mathematical Sciences and School of Mathematics (United Kingdom)
An existence and uniqueness theorem for a class of stochastic delay differential equations is presented, and the convergence of Euler approximations for these equations is proved under general conditions. Moreover, the rate of almost sure convergence is obtained under local Lipschitz and also under monotonicity conditions.
- OSTI ID:
- 22309136
- Journal Information:
- Applied Mathematics and Optimization, Vol. 68, Issue 3; Other Information: Copyright (c) 2013 Springer Science+Business Media New York; http://www.springer-ny.com; Country of input: International Atomic Energy Agency (IAEA); ISSN 0095-4616
- Country of Publication:
- United States
- Language:
- English
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