Some Properties of Numerical Solutions for Semilinear Stochastic Delay Differential Equations Driven by G-Brownian Motion

Haiyan Yuan

Mathematical Problems in Engineering, 2021, vol. 2021, 1-26

Abstract:

This paper is concerned with the numerical solutions of semilinear stochastic delay differential equations driven by G-Brownian motion (G-SLSDDEs). The existence and uniqueness of exact solutions of G-SLSDDEs are studied by using some inequalities and the Picard iteration scheme first. Then the numerical approximation of exponential Euler method for G-SLSDDEs is constructed, and the convergence and the stability of the numerical method are studied. It is proved that the exponential Euler method is convergent, and it can reproduce the stability of the analytical solution under some restrictions. Numerical experiments are presented to confirm the theoretical results.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:1835490

DOI: 10.1155/2021/1835490

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