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http://dx.doi.org/10.14317/jami.2016.421

A NOTE ON THE APPROXIMATE SOLUTIONS TO STOCHASTIC DIFFERENTIAL DELAY EQUATION

KIM, YOUNG-HO (Department of Mathematics, Changwon National University)
PARK, CHAN-HO (Department of Mathematics, Changwon National University)
BAE, MUN-JIN (Department of Mathematics, Changwon National University)

Publication Information

Journal of applied mathematics & informatics / v.34, no.5_6, 2016 , pp. 421-434 More about this Journal

Abstract

The main aim of this paper is to discuss the difference between the Euler-Maruyama's approximate solutions and the accurate solution to stochastic differential delay equation. To make the theory more understandable, we impose the non-uniform Lipschitz condition and weakened linear growth condition. Furthermore, we give the pth moment continuous of the approximate solution for the delay equation.

Keywords

Euler-Maruyama approximation; non-Lipschitz condition; weakened linear growth condition; Stochastic differential delay equation;

Citations & Related Records

Reference

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