Strong Convergence of the Split-Step Theta Method for Stochastic Delay Differential Equations with Nonglobally Lipschitz Continuous Coefficients

Chao Yue and Chengming Huang

Abstract and Applied Analysis, 2014, vol. 2014, 1-9

Abstract:

This paper is concerned with the convergence analysis of numerical methods for stochastic delay differential equations. We consider the split-step theta method for nonlinear nonautonomous equations and prove the strong convergence of the numerical solution under a local Lipschitz condition and a coupled condition on the drift and diffusion coefficients. In particular, these conditions admit that the diffusion coefficient is highly nonlinear. Furthermore, the obtained results are supported by numerical experiments.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlaaa:157498

DOI: 10.1155/2014/157498

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