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arXiv · 1703.09565

The Truncated Euler-Maruyama Method for Stochastic Differential Delay Equations

Qian Guo·Xuerong Mao·Rongxian Yue
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Abstract

The numerical solutions of stochastic differential delay equations (SDDEs) under the generalized Khasminskii-type condition were discussed by Mao [15], and the theory there showed that the Euler-Maruyama (EM) numerical solutions converge to the true solutions in probability. However, there is so far no result on the strong convergence (namely in L^p) of the numerical solutions for the SDDEs under this generalized condition. In this paper, we will use the truncated EM method developed by Mao [16] to study the strong convergence of the numerical solutions for the SDDEs under the generalized Khasminskii-type condition.

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Qian Guo, Xuerong Mao, Rongxian Yue. 2017-03-28. The Truncated Euler-Maruyama Method for Stochastic Differential Delay Equations. https://doi.org/10.1007/s11075-017-0391-0

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