A note on Euler approximations for stochastic differential equations with delay

Istvan Gyöngy; Sotirios Sabanis

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arXiv · 1212.3567

A note on Euler approximations for stochastic differential equations with delay

Istvan Gyöngy·Sotirios Sabanis

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Abstract

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.

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Istvan Gyöngy, Sotirios Sabanis. 2012-12-14. A note on Euler approximations for stochastic differential equations with delay. https://arxiv.org/abs/1212.3567

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