Almost Sure and Convergence of Split-Step Backward Euler Method for Stochastic Delay Differential Equation

Qian Guo and Xueyin Tao

Abstract and Applied Analysis, 2014, vol. 2014, 1-7

Abstract:

The convergence of the split-step backward Euler (SSBE) method applied to stochastic differential equation with variable delay is proven in -sense. Almost sure convergence is derived from the convergence by Chebyshev’s inequality and the Borel-Cantelli lemma; meanwhile, the convergence rate is obtained.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlaaa:390418

DOI: 10.1155/2014/390418

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