Numerical approximation of stochastic differential delay equation with coefficients of polynomial growth

作者：Zhou, Shaobo^*; Hu, Chaozhu

来源：Calcolo, 2017, 54(1): 1-22.

DOI：10.1007/s10092-016-0173-4

• Stochastic differential delay equation
• Convergence in probability
• One-sided polynomial growth conditions
• Euler Maruyama method
• Stopping time

Although numerical methods of nonlinear stochastic differential delay equations (SDDEs) have been discussed by several authors, there is so far little work on the numerical approximation of SDDE with coefficients of polynomial growth. The main aim of the paper is to investigate convergence in probability of the Euler-Maruyama (EM) approximate solution for SDDE with one-sided polynomial growing drift coefficient and polynomial growing diffusion coefficient. Moreover, we prove the existence-and-uniqueness of almost surely exponentially stable global solution for this nonlinear stochastic delay system. Finally, a computer simulation confirms the efficiency of our numerical method.

• 出版日期2017-3
• 单位湖北工业大学; 华中科技大学