Explicit numerical approximations for SDDEs in finite and infinite horizons using the adaptive EM method: Strong convergence and almost sure exponential stability

Ulises Botija-Munoz and Chenggui Yuan

Applied Mathematics and Computation, 2024, vol. 478, issue C

Abstract: In this paper we investigate explicit numerical approximations for stochastic differential delay equations (SDDEs) under a local Lipschitz condition by employing the adaptive Euler-Maruyama (EM) method. Working in both finite and infinite horizons, we achieve strong convergence results of the adaptive EM solution. We also obtain the order of convergence in finite horizon. In addition, we show almost sure exponential stability of the adaptive approximate solution for both SDEs and SDDEs.

Keywords: Stochastic differential delay equations; Euler-Maruyama adaptive method; Infinite horizon; Boundedness of the pth moments; Order of convergence; Almost sure exponential stability (search for similar items in EconPapers)
Date: 2024
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S009630032400314X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:478:y:2024:i:c:s009630032400314x

DOI: 10.1016/j.amc.2024.128853

Access Statistics for this article

Applied Mathematics and Computation is currently edited by Theodore Simos

More articles in Applied Mathematics and Computation from Elsevier
Bibliographic data for series maintained by Catherine Liu ().