An Euler scheme for stochastic delay differential equations on unbounded domains: Pathwise convergence

Bahareh Akhtari; Esmail Babolian; Andreas Neuenkirch

doi:10.3934/dcdsb.2015.20.23

Article Contents

2015, Volume 20, Issue 1: 23-38. Doi: 10.3934/dcdsb.2015.20.23

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An Euler scheme for stochastic delay differential equations on unbounded domains: Pathwise convergence

1.
Department of Mathematical Sciences and Computer, Kharazmi University, 50 Taleghani Avenue, Tehran 1561836314
2.
Institut für Mathematik, Universität Mannheim, A5, 6, D-63181 Mannheim

Received: May 31, 2013

Revised: May 31, 2014

Published: December 2014

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Abstract

In this note, we establish under mild smoothness assumptions the pathwise convergence rate of an Euler-type method with projection for delay stochastic differential equations on unbounded domains.

Keywords:

Stochastic delay differential equations,
pathwise convergence,
locally Lipschitz,
domain,
reflection.

Mathematics Subject Classification: 60H35, 65C30, 65C20.

Citation:

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References

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