Strong Convergence of the Split-Step Theta Method for Stochastic Delay Differential Equations with Nonglobally Lipschitz Continuous Coefficients
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 cou...
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| Main Authors: | , |
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| Format: | Artigo |
| Language: | Inglês |
| Published: |
Wiley
2014-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2014/157498 |
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