Projected Euler-Maruyama method for stochastic delay differential equations under a global monotonicity condition

Min Li and Chengming Huang

Applied Mathematics and Computation, 2020, vol. 366, issue C

Abstract: In this paper, we investigate a projected Euler-Maruyama method for stochastic delay differential equations with variable delay under a global monotonicity condition. This condition admits some equations with highly nonlinear drift and diffusion coefficients. We appropriately generalize the idea of C-stability and B-consistency given by Beyn et al. (2016) to the case with delay. Moreover, the method is proved to be convergent with order one-half in a succinct way. Finally, some numerical examples are included to support our theoretical results.

Keywords: Stochastic delay differential equation; Projected Euler-Maruyama method; Strong convergence; C-Stability; B-Consistency (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:366:y:2020:i:c:s0096300319307258

DOI: 10.1016/j.amc.2019.124733

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