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Title: A Note on Euler Approximations for Stochastic Differential Equations with Delay

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.
Authors:
;  [1]
  1. University of Edinburgh, Maxwell Institute for Mathematical Sciences and School of Mathematics (United Kingdom)
Publication Date:
OSTI Identifier:
22309136
Resource Type:
Journal Article
Resource Relation:
Journal Name: Applied Mathematics and Optimization; Journal Volume: 68; Journal 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)
Country of Publication:
United States
Language:
English
Subject:
71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSICS; ALGORITHMS; APPROXIMATIONS; CONVERGENCE; DIFFERENTIAL EQUATIONS; STOCHASTIC PROCESSES