Numerical solutions of stochastic differential delay equations under local Lipschitz condition

被引：147

作者：

Mao, XR ^{[1
]}

Sabanis, S

机构：

[1] Univ Strathclyde, Dept Stat & Modelling Sci, Glasgow G1 1XH, Lanark, Scotland

[2] Univ Edinburgh, Dept Math & Stat, Edinburgh EH9 3JZ, Midlothian, Scotland

来源：

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2003年 / 151卷 / 01期

基金：

英国生物技术与生命科学研究理事会; 英国工程与自然科学研究理事会;

关键词：

stochastic differential delay equations; local Lipschitz condition;

D O I：

10.1016/S0377-0427(02)00750-1

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper a variant of the Euler-Maruyama method is used to define the numerical solutions for stochastic differential delay equations (SDDEs) with variable delay. The key aim is to show that the numerical solutions will converge to the true solutions of the SDDEs under the local Lipschitz condition. (C) 2002 Elsevier Science B.V. All rights reserved.

引用

页码：215 / 227

页数：13

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